Advanced Time Series Analysis (379029)

Content:

• Introduction and overview
• Multivariate Time Series Models
• Vector Autoregressive Models (VARs) and structural VARs
• Cointegration and Error-Correction Models
• Vector Error-Correction Models
• Non-linear models and Breaks
• Threshold Autoregressive Models (TAR)
• Extension of TAR Models

References:

• Enders, W. (2014). Applied Econometric Time Series, Wiley.
• Lütkepohl, H. (2005) New Introduction to Multiple Time Series Analysis, Springer.
• Lütkepohl, H. (2004) Applied Time Series Econometrics, Cambridge University Press.

Link to the course.