Time Series And Econometrics 2014/2015

Univariate Time Series

Program

Stationary time series analysis: Basic concepts. Stationarity, autocorrelation, partial autocorrelation.
Linear stationary processes.
ARMA models.
Forecasting.
Nonstationary time series analysis: ARIMA models. Seasonality, The Box-Jenkins approach.
Unit roots in macroeconomic time series: Deterministic trends vs. random walks.
Unit-roots tests.
The Beveridge-Nelson trend-cycle decomposition.
Impulse response function and measures of persistence.

LIST OF REFERENCES

Brockwell and Davis (2002) Introduction to Time Series and Forecasting, second edition, Springer-Verlag, New York .
Hamilton (1994), Time Series Analysis, Princeton University Press.
Wei (2006) Time Series Analysis: Univariate and Multivariate Methods, second editiom, Addison-Wesley .
Multivariate Time Series

PROGRAM

Stationary and Ergodic Multivariate Time Series
Multivariate Wold Representation
Vector Autoregression (VAR) Models
Identification and Estimation of VAR models
Forecasting
Structural VAR Models
Impulse Response Functions
Forecast Error Variance Decompositions
Shocks Identification Using the Choleski Factorization
The Cointegrated VAR
Maximum Likelihood Inference on the Cointegrated VAR
The Common Trends Representation.

LIST of REFERENCES:

Lütkepohl, H. (2005) "New Introduction to Multiple Time Series Analysis", Springer.
Hamilton, J.D. (1994) "Time Series Analysis", Princeton University Press