Sumários
Lecture 12
24 Novembro 2025, 18:00 • Paulo Parente
Exercise Sheet 6: Exercise 2b
Exercise Sheet 5: Exercise 4
Exam 2021/2022: Question 1(a)
Lecture 11
17 Novembro 2025, 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 6: Exercise 1, 2a
Lecture 10
10 Novembro 2025, 18:00 • Paulo Parente
Exercise sheet 5: Exercises 3b,c and d.
Multivariate Time Series Models
- Stationary multivariate time series
- Vector autoregressive models
Lecture 9
3 Novembro 2025, 18:00 • Paulo Parente
Univariate time series modelling
- Box Jenkins Methodology
- Forecasts
Exercise sheet 5: Exercises 1a, 2a, 3,a,b (incomplete)