Time Series Econometrics

A.Y. 2019/2020
Lesson for
3
ECTS
20
Overall hours
20
Places available
Language
English
The aim of the course is to teach students time-series analysis used in advanced economic research. Competence is developed regarding stationary and non-stationary multivariate models with special attention to: dynamic simultaneous equations; Vector autoregression (VAR) models, Impulse response functions, Variance decompositions, Structural VAR models; Cointegration, Vector error correction models.
Knowledge of Statistics and Mathematical analysis (linear algebra).
For first year students - Mandatory for Economics PhD students.
Assessment methods
Esame
Assessment result
voto verbalizzato in trentesimi
Professor(s)
Reception:
Monday 12.30 to 14.30 during term time (Winter term).
Stanza 4 (Second floor)