Sumários
Lecture 12
7 Dezembro 2020, 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 taught on 13/12/2020 in Room 010 (F1)
Lecture 11
30 Novembro 2020, 18:00 • Paulo Parente
Univariate time series modelling
∙ Forecasts
Exercise Sheet 5: Exercises 1(a), 2(a), 3
Lecture taught on 04/12/2020 in Room 010 (F1)
Lecture 10
23 Novembro 2020, 18:00 • Paulo Parente
Univariate time series modelling
∙ ARMA processes
∙ Box Jenkins Methodology
Lecture 8
9 Novembro 2020, 18:00 • Paulo Parente
Limited Dependent Variable Models
∙ Sample selection;
Exercise Sheet 4: Exercise 1
Univariate time series modelling
∙ Stochastic Process
∙ Stationary Processes
∙ Wold's Decomposition Theorem