Multiple Time Series Analysis

Instructor: 
Time I: 
Thursday, 10:15am
Venue I: 
DIW, Garystr. 21, room 105
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

Hamilton, J., Time Series Analysis, Princeton University Press, Princeton, NJ, 1994.
Johansen, S., Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford, 1995.
Lütkepohl, H., New Introduction to Multiple Time Series Analysis, Springer, Berlin, 2005.

Thursdays from 10:15 to 11:45 and 14:15 to 15:45. The first lecture will take place on April 21.

Credits: 
6.00
Semester: 
Spring 2016
Download: 
End date of the whole course: 
Thursday, July 21, 2016 - 3:45pm