Course Details
Country:
Netherlands
Institution:
Free University of Amsterdam
Course Title:
Time Series and Dynamic Econometrics
Course Number:
E_MFAE_TSDE
Course Description:
This course focuses on the econometric analysis of data that contains a temporal component. To that end, the concept of a time series will be rigorously defined and the most important tools to analyse them are discussed. The students are introduced to well-known regression models for time-series data, including autoregressive moving average (ARMA) models, as well as autoregressive distributed lag (ADL) and error correction models (ECM). The course provides both theoretical and practical insights into parameter estimation for time series models and the use of these models for forecasting, testing for Granger causality, and performing policy analysis using impulse response functions. Finally, students become familiar with the fundamental problem of spurious regression in time series analysis. We therefore consider the theory and practice behind unit-root tests, cointegration tests, as well as error-correction representation theorems.
Language:
English
Approved Equivalent:
Pending For Approval
Attachment Files:
Studyguide (18)_4.pdf
