Time Series Econometrics

A.Y. 2020/2021
Course offered to students on the PhD programme in
Overall hours
Lesson period
February 2021
Places available
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
Assessment result
voto verbalizzato in trentesimi
How to enrol


The course enrolment deadline is usually the 25th day of the month prior to the start date.

  • As an exception, for courses starting in October 2021, until 29 October 2021.

Subsequent course enrolment deadlines are as follows:

  • 25 October 2021 for courses starting in November 2021
  • 25 November 2021 for courses starting in December 2021.

Deadlines for enrolment in other courses will be announced as soon as possible.

How to enrol

  1. Access enrolment on PhD courses online service using your University login details
  2. Select the desired programme and click on Registration (Iscrizione) and then on Register (Iscriviti)

Ignore the option "Exam session date” that appears during the enrolment procedure.


For help please contact phd@unimi.it

Monday, 12.30 to 2.30. Please email me to arrange an appointment.
Stanza 4 (Second floor) [On line appointments only]