Sumários

Lecture 13

4 Dezembro 2023, 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 7: Exercises 1 and 3

Lecture 12

27 Novembro 2023, 18:00 • PAULO MIGUEL DIAS COSTA 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 MIGUEL DIAS COSTA 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 MIGUEL DIAS COSTA PARENTE

Univariate time series modelling
  • Forecasts
Exercise Sheet 5: Exercise 1(a),2(a), 3.

Lecture 9

6 Novembro 2023, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Univariate time series modelling 

  • ARMA processes 
  • Box Jenkins Methodology