Multiple Time Series Analysis

Time I: 
Thursday,
10:00am to 12:00pm
Time II: 
Thursday,
02:00pm to 04:00pm
Venue I: 
FU Berlin, Garystraße 21, Room 104a
Venue II: 
FU Berlin, Garystraße 21, Room 104a
Description: 

Participating students are expected to be familiar with basic time series analysis and methods of econometrics. The course covers advanced methods of modelling and analysing multiple time series. Students are introduced to the models, parameter estimation and specification of the relevant models. They will learn to use them for economic analysis and forecasting.
 

Contents: 

  • Review of univariate time series analysis
  • Vector autoregressive (VAR) models
  • Specification and estimation of VAR models
  • Cointegration
  • Vector error correction models (VECMs)
  • Estimation of VECMs
  • Cointegration tests and specifications of VECMs
  • Structural vector autoregressive analysis


Literature:
H. Lütkepohl, New Introduction to Multiple Time Series Analysis, Springer, Berlin, 2005.

Please note that the first lecture on 12 April 2012 will exceptionnally be from 2:15 to 3:45 pm in the Lecture Room C, Henry-Ford-Bau (Garystraße 35).

 

Credits: 
6.00
Semester: 
Spring 2012
Affiliation: 
Deutsches Institut für Wirtschaftsforschung