Sumários
Lecture 13
4 Dezembro 2023, 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 7: Exercises 1 and 3
Lecture 12
27 Novembro 2023, 18:00 • Paulo Parente
Multivariate Time Series Models
- Structural VAR
- Forecasting VAR models
Exercise sheet 6: Exercise 1
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
Lecture 11
20 Novembro 2023, 18:00 • Paulo Parente
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
13 Novembro 2023, 18:00 • Paulo Parente
Univariate time series modelling
- Forecasts
Exercise Sheet 5: Exercise 1(a),2(a), 3.
Lecture 9
6 Novembro 2023, 18:00 • Paulo Parente
Univariate time series modelling
- ARMA processes
- Box Jenkins Methodology