Course ObjectiveThis course introduces students to time series analysis and dynamic
econometric models for economics, business and finance.
Course ContentThis course covers both theoretical and practical aspects of time series
econometrics including the analysis of stationary and non-stationary
stochastic processes in economics, business and finance.
The students are introduced to autoregressive moving average (ARMA)
models, autoregressive distributed lag (ADL) models, and error
correction models (ECM). Furthermore, the course provides both
theoretical and practical insight into parameter estimation in
time-series and the use of these models for forecasting, testing for
Granger causality, and performing policy analysis using impulse response
Finally, students become familiar with the fundamental problem of
spurious regression in time-series analysis. We find a solution to this
problem by taking a journey into the theory and practice behind
unit-root tests, cointegration tests and error-correction representation
Teaching MethodsLectures and practical classes. During practical classes time will be
made for discussing exercises.
Method of AssessmentFinal exam and group assignments – Individual assessment.
LiteratureAll relevant material can be found in the lecture notes and other study
material provided by the teacher.
Recommended optional reading material:
J. Stock and M. Watson, 2011, Introduction to Econometrics. Prentice
P. Brockwell and R. Davis, 2010, Introduction to Time Series and
C. Brooks, 2014, Introductory Econometrics for Finance. Cambridge
Target AudienceThis course in the minor Applied Econometrics is targeted at both
econometrics and non-econometrics students that have knowledge of basic
mathematics, probability and statistics.
Recommended background knowledgeThis course builds on the foundations laid either in the sequence of
courses in `Kwantitatieve Methoden` (in the Economics programme) or in
that of `Statistics` and `Business Mathematics` (in the Business
Administration programme). It assumes familiarity with probability
and statistics. This material corresponds more or less to Part I
(Chapters1-3) in Stock & Watson, and students are recommended to refresh
their memory on this prior to the first lecture.
|Language of Tuition||English|
|Faculty||School of Business and Economics|
|Course Coordinator||prof. dr. S.J. Koopman|
|Examiner||prof. dr. S.J. Koopman|
prof. dr. S.J. Koopman
You need to register for this course yourself
Last-minute registration is available for this course.
|Teaching Methods||Study Group, Lecture, Computer lab|
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