Multiple Time Series Analysis WS 2016/17
A special abbreviated version of the course will be offered in January/February 2017 in the DIW Berlin for doctoral students. FU MA students can choose the course as „Aktuelle Forschungsfragen der Zeitreihenökonometrie“. To that aim, please register in Campus Management for the course “Aktuelle Forschungsfragen der Zeitreihenökonometrie” held by Nautz and Trabandt.
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.
- Review of univariate time series analysis
- Vector autoregressive (VAR) models
- Specification and estimation of VAR models
- Vector error correction models (VECMs)
- Estimation of VECMs
- Cointegration tests and specifications of VECMs
- Structural vector autoregressive analysis
- 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.
Lectures: Fridays 9:00-12:30, Dulles Room at DIW, starting on 6 January 2017
TA sessions: Mondays 9:00-11:00, Dulles Room at DIW, starting on 9 January 2017