Faculty of Economics at the University of Coimbra

Spring Course on Applied Time Series Econometrics

Prof. Helmut Luetkepohl (European University Institute , Italy)

Faculty of Economics, University of Coimbra, Portugal
March 25th and 26th, 2010

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Program

Program

 Thursday, March 25th

09.00-10.30 Registration and Welcome

10.30-12.00 Lecture 1: Univariate Time Series Analysis (I)

  • Stationary and integrated stochastic processes

  • ARIMA processes

  • Estimation and specification of stationary ARMA processes

12.00-13:00  Discussion

13.00-14.30 Lunch

14.30-16:00 Lecture 2: Univariate Time Series Analysis (II)

  •  Unit root tests

  •  Estimation and specification of ARIMA processes

16.00-16.30 Coffee break

16.30-18.00 Lecture 3: Multiple Time Series Analysis

  • Vector autoregressive processes

  • Estimation and specification of VAR models

  • Cointegration and vector error correction models

  • Estimation and specification of VECMs

18:00-19:00 Discussion

Friday, March 26th

10.30-12:00 Lecture 4: Structural VAR Models and Impulse Responses

  • Impulse responses and forecast error variance decomposition

  • AB-models

  • Long-run restrictions à la Blanchard-Quah

  • Long-run restrictions à la King-Plosser-Stock-Watson

  • Statistical inference for impulse responses

12.00-13:00  Discussion

13.00-14.30 Lunch

14.30-16.00 Lecture 5: Conditional Heteroskedasticity

  • Univariate GARCH processes

  • Multivariate GARCH processes

  • Estimation of GARCH models

16.00-17.00 Discussion

Primary literature: Lütkepohl, H., Krätzig, M., (eds.) Applied Time Series Econometrics, Cambridge, Cambridge University Press, 2004.

Note: Examples with JMulTi will be presented and discussed

20:00 Course Dinner (paid by the participants on the registration desk)

 

Last update: 2010-03-11