Course ObjectiveObtaining basic understanding of multivariate dynamic linear modeling
and time series analysis and panel data. Understanding the introductory
theory and practice of econometric analysis of stationary and
non-stationary multivariate stochastic processes and panel data.
Course ContentEconometrics III provides an introduction to multivariate dynamic models
and time-series analysis. The course covers both theoretical and
practical aspects of time-series econometrics including analysis of
multivariate stationary and non-stationary processes, vector
autoregressive (VAR) models, vector error correction models (VECMs), and
cointegration tests. The course also introduces panel data models,
methods and techniques.
Teaching Methods4 hours per week of lectures, 2 hours per week solving/discussing
theoretical and practical exercises
Method of AssessmentExam (70%) and practical assignment (30%)
Entry RequirementsBasics of statistics, probability, econometrics, algebra, and calculus
H. Lütkepohl, New Introduction to Multiple Time Series Analysis (2006),
J.D. Hamilton, Time Series Analysis (1994), Princeton University Press
B.H. Baltagi, Econometric Analysis of Panel Data (5th Edition, 2013),
Target AudienceThe course is targeted at students in the Bachelor Econometrics and
Operations Research (EOR).
It is also recommended for students who are not enrolled in the Bachelor
EOR, but who are interested in pursuing a M.Sc. in Econometrics.
Additional InformationThe course is suitable to be taken in an exchange program.
Explanation CanvasAll course materials will be made available on Canvas.
|Language of Tuition||English|
|Faculty||School of Business and Economics|
|Course Coordinator||dr. J. Schaumburg|
|Examiner||dr. J. Schaumburg|
You need to register for this course yourself
Last-minute registration is available for this course.
|Teaching Methods||Seminar, Lecture|
This course is also available as: