Sumários
Lecture 12
25 Novembro 2024, 18:00 • Paulo Parente
Multivariate Time Series Models
- Structural VAR
- Forecasting VAR models
Exercise Sheet 6: Exercises 1 and 2
Lecture 11
18 Novembro 2024, 18:00 • Paulo Parente
Exercise sheet 5: Exercises 3b (complete),c,d.
Multivariate Time Series Models
- Stationary multivariate time series
- Vector autoregressive models
- Estimation and testing of VAR models
- Impulse response functions
- Granger Causality.
Lecture 10
11 Novembro 2024, 18:00 • Paulo Parente
Univariate time series modelling
- Box Jenkins Methodology
- Forecasts
Exercise Sheet 5: Exercises 1a, 2a, 3a,b (incomplete)
Lecture 8
28 Outubro 2024, 18:00 • Paulo Parente
Exercise Sheet 4: Exercises 1d,e,f,g.
Univariate time series modelling
- Stochastic Process
- Stationary Processes
- Wold’s Decomposition Theorem
- ARMA processes