Sumários

Lecture 12

13 Dezembro 2021, 18:00 • Paulo Parente

Multivariate Time Series Models
  • Vector autoregressive models
  • Estimation and testing of VAR models
  • Impulse response functions
  • Granger Causality.
  • Structural VAR
  • Forecasting VAR models

Exercise Sheet 7: Exercise 1

Lecture 11

6 Dezembro 2021, 18:00 • Paulo Parente

Exercise Sheet 5: Exercises 2(a), 3

Multivariate Time Series Models

  • Stationary multivariate time series
  • Vector autoregressive models

Lecture 10

29 Novembro 2021, 18:00 • Paulo Parente

    Univariate time series modelling

  ∙  ARMA processes
  ∙  Box Jenkins Methodology

  ∙  Forecasts

Exercise Sheet 5: Exercise 1(a)

Lecture 9

22 Novembro 2021, 18:00 • Paulo Parente

    Univariate time series modelling

  ∙  Wold's Decomposition Theorem
  ∙  ARMA processes

Lecture 8

15 Novembro 2021, 18:00 • Paulo Parente

    Limited Dependent Variable Models
    3. Censored data;

    4. Sample selection;

Exercise Sheet 4: Exercise 1

    Univariate time series modelling

  ∙  Stochastic Process
  ∙  Stationary Processes