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Econometrics II

This course introduces statistical models for analyzing time series data, including univariate autoregressive moving average (ARMA) models, vector autoregression (VAR) models, and non-stationary time series analysis. The course progresses from basic linear univariate models to more complex multivariate models. Topics include stationarity, estimation and forecasting of ARMA models, vector autoregression, cointegration, volatility models, and dynamic panel models. A solid background in multivariate statistics, probability, and econometrics is required for this advanced graduate-level course.

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Jemmy Dennis Vargas Maytahuari
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35 views

Econometrics II

This course introduces statistical models for analyzing time series data, including univariate autoregressive moving average (ARMA) models, vector autoregression (VAR) models, and non-stationary time series analysis. The course progresses from basic linear univariate models to more complex multivariate models. Topics include stationarity, estimation and forecasting of ARMA models, vector autoregression, cointegration, volatility models, and dynamic panel models. A solid background in multivariate statistics, probability, and econometrics is required for this advanced graduate-level course.

Uploaded by

Jemmy Dennis Vargas Maytahuari
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Econometrics II

Program
Description of the Course
This course introduces a variety of statistical models for time series and covers the main
methods for analyzing these models, with an emphasis on practical skills. The course starts
by introducing basic concepts using linear univariate models and progresses to more
complicated multivariate models. Autoregressive Moving-Average models, VARs and
structural VARs are covered. An introduction to non-stationary time series analysis is given.
Time permitting we cover additional topics including volatility models, dynamic panel
models, Wold and Spectral representations. This is an advanced graduate level course. A
solid background in multivariate statistics, probability and econometrics is assumed.

Course Outline
1. Introduction
(a) What is a time series?
(b) Why do we need time series econometrics?
(c) Time Series and their characteristics and components
(d) Basic concepts in time series
2. Univariate Time Series
(a) Stationarity, ergodicity and time dependence.
(b) Autoregressive (AR) models
(c) Moving-Average (MA) models
(d) Autoregressive Moving-Average (ARMA) models
(e) Estimation of ARMA Models
(f) Unit roots
(g) Formal tests for unit root
(h) Autoregressive Integrated Moving-Average (ARIMA) models
(i) Model identi.cation
(j) Forecasting
3. Multiple Time Series Analysis
(a) Vector Autoregression (VAR) Models
(b) Granger causality
(c) Impulse response analysis
(d) Forecast error variance decomposition
(e) Cointegration and spurious regression
(f) Engle-Granger two-step cointegration analysis
(g) Cointegration analysis based on dynamic models (ADL or ECM models)

4. Optional topics in time series


(a) ARCH and GARCH models
(b) Dynamic panel models
(c) Stationarity and Wold representation
(d) Spectral representation

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