Time Series Econometrics

2018-2019
Dit vak wordt in het Engels aangeboden. Omschrijvingen kunnen daardoor mogelijk alleen in het Engels worden weergegeven.

Doel vak

To gain insights in economic and financial time series modelling with a
focus on theory, methods and computations.

Inhoud vak

This course focuses on theory, methodology and computational methods for
a general class of time series state space models
The econometric methodology is explored in detail for a number of
selected topics in the time series analysis of economic and financial
data.
In particular, dynamic model properties, model formulations, likelihood
evaluations, signal extraction and Monte Carlo simulation methods are
studied.
Theory and methods are developed in detail: derivations are studied
which all start from basic principles in statistics and econometrics.
Various computer programs need to be developed for the implementation of
the methods.

Onderwijsvorm

lectures
tutorials

Toetsvorm

written exam
written assignments

Literatuur

Selection of literature:
- Brockwell, P.J. & R.A. Davis, Time Series: Theory and Methods. Second
Edition, Springer-Verlag, 1991.
- Durbin, J. & S.J. Koopman, Time Series Analysis by State Space
Methods. Second Edition, Oxford University Press, 2012.
- Selected papers.

Algemene informatie

Vakcode E_EORM_TSE
Studiepunten 6 EC
Periode P4
Vakniveau 400
Onderwijstaal Engels
Faculteit School of Business and Economics
Vakcoördinator prof. dr. S.J. Koopman
Examinator prof. dr. S.J. Koopman
Docenten

Praktische informatie

Voor dit vak moet je zelf intekenen.

Voor dit vak kun je last-minute intekenen.

Werkvormen Hoorcollege
Doelgroepen

Dit vak is ook toegankelijk als: