Introduction to Time Series and Dynamic Econometrics

2019-2020
Dit vak wordt in het Engels aangeboden. Omschrijvingen kunnen daardoor mogelijk alleen in het Engels worden weergegeven.

Doel vak

This course introduces students to time series analysis and dynamic
econometric models for economics, business and finance.

Inhoud vak

This 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
functions.

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
theorems.

Onderwijsvorm

Lectures and practical classes. During practical classes time will be
made for discussing exercises.

Toetsvorm

Final exam and group assignments – Individual assessment.

Literatuur

All 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
Hall.

P. Brockwell and R. Davis, 2010, Introduction to Time Series and
Forecasting. Springer.

C. Brooks, 2014, Introductory Econometrics for Finance. Cambridge
University Press.

Doelgroep

This course in the minor Applied Econometrics is targeted at both
econometrics and non-econometrics students that have knowledge of basic
mathematics, probability and statistics.

Aanbevolen voorkennis

This 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.

Algemene informatie

Vakcode E_EOR3_ITSDE
Studiepunten 6 EC
Periode P1
Vakniveau 300
Onderwijstaal Engels
Faculteit School of Business and Economics
Vakcoördinator prof. dr. S.J. Koopman
Examinator prof. dr. S.J. Koopman
Docenten prof. dr. S.J. Koopman

Praktische informatie

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Werkvormen Hoorcollege, Werkgroep
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