The objective of
this course is to provide participating students with an understanding of the
concepts of modern time series methods as well as practical experience in
analyzing time series from economics.
The emphasis of this course is on the study of methods for the analysis of
possibly non-stationary economic time series. We will consider and study both
theoretical and practical aspects. In particular we will cover and discuss
issues related to dynamic econometric models, to modeling univariate (ARMA
models) and multivariate stationary (VAR models) and non-stationary processes
(unit root and cointegration) as well as issues related to forecasting and
policy analysis.
Empirical applications are also considered so that the course will provide
students with practical experience in analyzing univariate and multivariate time
series from economics or business.
6 ECTS
The students will have to work on an empirical paper applying and implementing the theoretical tools discussed during the lectures.
· Brockwell, P.J. and R.A. Davis (2006), Time Series: Theory and Methods, (Springer-Verlag: Berlin), second edition.
· Hamilton, J.D. (1994) Time Series Analysis, (Princeton University Press: Princeton).
· Harvey, A.C. (1993), Time Series Models, Harvester Wheatsheaf, New York.
· Hendry, D.F. (1995), Dynamic Econometrics, (Oxford University Press: Oxford).
· Lütkepohl, H. and M. Krätzig (2004), Applied Time Series Econometrics, (Cambridge University Press: Cambridge).
·
Lütkepohl, H. (2005),
New Introduction to Multiple Time
Series Analysis
(Springer-Verlag, Berlin).