5.0 credits
30.0 h
2q
Teacher(s)
Gao Zhengyuan ;
Language
Anglais
Main themes
The course must cover the important and essential themes of the econometrics of time series analysis and their application in some fields of economics, like macroeconomics and finance.
The basic concepts of stationarity and ergodicity are taught in the prerequisite course.
The main themes for this course are those of linear time series models (autoregressive and moving average models), unit roots and cointegration. Both univariate and multivariate models must be taught.
For non linear time series models, a selection of topics has to be done mainly among ARCH models, Makov-switching models, and state-space models.
In all topics, the themes of model building, evaluation and prediction are included.
Aims
The purpose is to train the students in the tools and models useful for the econometric analysis of economic
time-series.
Students will learn to understand in depth and apply correctly the techniques. The course prepares to research in the field of time-series analysis and its applications.
The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.
Content
Contents
Autoregressive and move average models (univariate case)
Regression analysis for time-series : the stationary case and the non-stationary case (trending regressors, deter-ministic and stochastic trends).
Vector autoregressive and moving average models.
Cointegration analysis.
Non-linear time-series models (ARCH, Markov-Switching
)
Macro-econometric and financial applications. Use of econometric software for applications and computa-tions/simulations.
Methods
Lectures, take-home exercises, readings of exemplary papers, empirical exercises using econometric software
Other information
Advanced Econometrics I
Written or oral exam. A part of the final result is reserved for the evaluation of the exercises as-signed during the term.
A textbook like Hayashi Econometrics or Hamilton's Time Series Analysis
Faculty or entity<
