Sumários

Lecture 13

5 Dezembro 2022, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE


Advanced Topics in Unit Roots and Cointegration

  • The system equation approach.
    • Johansen cointegration test and Error correction models
    • Hypothesis testing on the cointegrating vectors
Exercise Sheet 8: Exercises 1,2,3.

Lecture 12

28 Novembro 2022, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Topic 7- Multivariate Time Series Models

  • Structural VAR
  • Forecasting VAR models
Exercise Sheet 7: Exercise 1

Topic 8 - Advanced Topics in Unit Roots and Cointegration

  • Unit roots
  • Cointegration and common trends
  • The single equation approach.
    • Engle-Granger procedure
    • Estimation of the cointegrating vector
  • The system equation approach.
    • Johansen cointegration test and Error correction models


Lecture 11

21 Novembro 2022, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Exercise Sheet 5: Exercise 3c,d.


Topic 7 - Multivariate Time Series Models

  • Stationary multivariate time series
  • Vector autoregressive models
  • Estimation and testing of VAR models
  • Impulse response functions
  • Granger Causality.
  • Structural VAR

Lecture 10

14 Novembro 2022, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Univariate time series modelling
  • ARMA processes
  • Box Jenkins Methodology
  • Forecasts
Exercise Sheet 5: Exercises 1a,2a, 3a,b.

Lecture 9

7 Novembro 2022, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

    Univariate time series modelling

  ∙  ARMA processes