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