Applied Time Series Analysis

Aims of the course

The objective of the course is necessary training in topics of advanced applied time series econometrics and applied macroeconomics.

Course syllabus

1. Autoregressive models and unit roots
2. Vector Autoregressive models
3. Vector Error-correction models
4. Structural VARs
5. Dynamic factors model
6. Factors-augmented regression analysis
7. Factor-Augmented VAR and factor-augmented VEC models

Course director(s)