Time Series Analysis
|Course code module||FTEMAJ0133|
|Study load (hours)||168|
|Language of instruction:||English|
|Semester exam information:||exam in the 1st semester|
|Contract restriction information:|
A general introduction to econometrics is very welcome.
2. Objectives (expected learning outcomes)
To be able to perform yourself a time series analysis of (multiple) economic data (simultaneously).
3. Course content
1. A typology of dynamic models: autoregressive distributed lag models, partial adjustment models, error correction models, autoregressive error models.
2. ARIMA models: stationarity and the (partial) autocorrelation function, autoregressive (AR) processes, moving average (MA) processes, ARMA processes, testing for unit roots, ARIMA models and the Box-Jenkins approach; detecting and dealing with aberrant observations.
3. Cointegration and causality, including spurious regressions and cointegration and error-correction mechanisms.
4. Forecasting: AR processes, MA processes; ARMA and ARIMA processes; ad-hoc forecasting methods; evaluation of density forecasts.
5. Estimation, testing and forecasting Varying Parameter Models (VPMs)
5.1 Regime Switching Models (RSMs): Markov-Switching models, Threshold Autoregression models and Smooth Transition Autoregression models; one-market and multi-market disequilibrium models
5.2 Volatility models: univariate ARCH and generalized ARCH (GARCH) models, functional forms of GARCH models (integrated GARCH or IGARCH models, absolute value GARCH models, exponential GARCH or EGARCH models, GARCH-in-mean models), multivariate GARCH processes: VEC and BEKK models.
6. Multivariate time series analysis: Impulse response functions, V(AR)(MA) models, VARs: orthogonalization, variance decomposition, multivariate cointegration and Granger causality, forecasting with seasonally cointegrated processes.
4. Teaching method
Direct contact: LecturesExercise sessions
5. Assessment method
Exam: Oral, with written preparation
Written assignment: With oral presentation
6. Compulsory reading – study material
Verbeek, M., "A Guide to Modern Econometrics", Second Edition, Wiley, 2005.Plasmans, J., "Modern Linear and Nonlinear Econometrics", Part II (Time Series Analysis), Springer, 2006.
7. Recommended reading - study material
Green, W., "Econometric Analysis", Fifth Edition, Prentice Hall, 2003.
laatste aanpassing: last update: 22/12/2008 18:55 ilke.franquet