Course Outline

1. ARIMA Models
   Stationarity, autoregressive time series models, moving average models, ARMA and ARIMA models
2. ARCH-GARCH Models
   The ARCH (1) and ARCH (q) models, the GARCH (p, q) model, EGARCH model estimation of ARCH and GARCH models
3. VAR Models and Causality Tests
   Unit roots and spurious regression, testing for unit roots, unit root tests on various macroeconomic variables, the VAR model, Ganger and Sims causality tests, panel data unit root tests and VAR models
4. Cointegration and Error Correction Models
   General approach of cointegration, the error-correction model, Engle-Granger and Johansen cointegration approaches, panel data cointegration, causality, error correction model and computer examples

Reference Books

1. Asterious, Dimitrios, and Stephen G. Hall. 2011. Applied Econometrics. 2^nd Palgrave Macmillan.
2. Enders, Walter. 2009. Applied Econometric Times Series. 3^rd New York: Wiley.
3. Green, W.H. 2011. Econometric Analysis. 7^th Prentice Hall.
4. Hamilton, James D. 1994. Time Series Analysis. New Jersey: Princeton University Press.
5. Johnston, Jack and John Dinardo. 1997. Econometric Methods. 4^th Mcgraw Hill.
6. Kennedy, Peter. 2008. A Guide to Econometrics. 6^th ed. Wiley-Blackwell.