Sumários
Lecture 13
5 Dezembro 2022, 18:00 • Paulo 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 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 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 Parente
Univariate time series modelling
- ARMA processes
- Box Jenkins Methodology
- Forecasts
Exercise Sheet 5: Exercises 1a,2a, 3a,b.