Multiple Time Series Analysis

Instructor: 
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.

Credits: 
6.00
Affiliation: 
Deutsches Institut für Wirtschaftsforschung