Time Series Econometrics
Volledige vakbeschrijvingThe emphasis of this course will be on studying in depth methods and techniques for the analysis of (nonstationary) economic and financial time series. We will cover and discuss issues related to:
- dynamic econometric modelling
- modelling nonstationary processes
- asymptotic theory for dependent and integrated processes
- unit roots (representation, tests, properties), cointegration and VECMs.
Empirical applications as well as simulation experiments will also be considered to provide students with practical experience in analyzing economic and business time series.
Doelstellingen van dit vakThe objectives of this course are :
- to provide students with an understanding/intuition of the concepts of modern time series methods that are used in econometrics.
- introduce the student to fundamental methodological issues in dynamic econometric modelling (nonstationarity, nonstandard asymptotic theory).
- to provide students with some experience in analyzing univariate and multivariate time series from economics or business.
Voorwaarden- Econometric methods (EBC2111), Stochastic Processes (EBC4004).
- Exchange students need to have a solid background in econometric methods, probability theory, mathematical statistics,
Aanbevolen literatuurThe main textbook used in this course will be:
- Hamilton, J.D. (1994), Time Series Analysis, Princeton University Press, Princeton.
You might also want to consult the following book:
- Davidson J. (2000), Econometric Theory, Blackwell Publishing, Oxford.
The first book is mathematically very concise, while the second book is more narrative of nature.
Students often perceive the two books as complementary.