W. Enders, 2014, Applied Econometric Time Series, 4th Edition, Wiley.
Learning Objectives
Upon completion of the course the student should be able to analyse economic time series and estimate simple models. He/she should also be able to read most of the empirical papers in applied macro.
Prerequisites
Introductory econometrics. Statistcal inference. Calculus and linear algebra.
Teaching Methods
Traditional lectures
Further information
Additional material provided by the instructor
Type of Assessment
A written test with question similar to those at and of each chapter of the books.
Course program
Time-Series Models, Difference Equations and Their Solutions, Lag Operators. Stochastic Difference Equation Models, ARMA Models, Stationarity, Stationarity Restrictions for an ARMA (p, q) Model , The Autocorrelation Function, The Partial Autocorrelation Function, Sample Autocorrelations of Stationary Series, Box–Jenkins Model Selection, Properties of Forecasts, Seasonality, Structural Change, Combining Forecasts. Deterministic and Stochastic Trends, Removing the Trend.