Applied Econometric Time Series

Course Director: Rickard Sandberg

In this course various popular time-series models (linear and nonlinear AR(I)MA models, linear VAR and VECM models) are introduced. We will emphasize how these models can be used to describe the behavior of economic and financial data (GDP, income, stock prices, returns, exchange rates, inflation, interest rates, unemployment rates, etc.). In order to successfully capture the features in such data, concepts of trends, unit roots, linear and nonlinear mean reversion, structural changes/breaks, co-integration, Granger causality, volatility clustering, etc., are covered. If time allows, a prediction and ML part will be added to serve the purpose of viable forecasting options to classical parametric time-series models.

During classes theory and worked out empirical exercises are combined. Students are expected to be active and read material in advance. In order to solve the empirical exercises and assignments, the software program STATA (or Python or R) will be used.

At the end of the course there is a (compulsory) guest lecture (TBA) to highlight the relevance of time-series models in practice.

Disposition of the course

The course consists of 15 lectures (2h each), 4 computer labs (3h each), and 4 tutorials (2h each). The lectures will be a mixture of theory and worked out empirical examples. The computer labs serve the purpose of solving empirical exercises using STATA. In the tutorials solutions to the assignments are presented and discussed.

Course Administrator: Anna.Burell@hhs.se

Upon successfully completing the course you will be able to (using STATA, Python or R):

• Specify a suitable time-series model
• Estimate the specified model
• Make inference in the estimated model
• Evaluate the estimated model
• Make forecasts using the estimated model

Knowledge (basic) about STATA (or R or Python), matrix algebra, large sample theory (e.g., law of large numbers and central limit theorems)

Enders, Walter, Applied Econometric Time Series, 4 edition, Wiley & Sons, 2009, ISBN : 978-1-118-80856-6

REMARK: I have noticed that the price for this book is more than 2 000 sek. As such, the book will only serve as a reference reading, and other equivalent material/readings will be provided (for freee) in the beginning of the course.

During the course you should, satisfactorily, solve four assignments. In these assignments you are asked to analyze some data sets and answer questions (mostly applied but also some of a theoretical nature) using STATA (or R). At the end of the course it will be a written exam.

Find the course schedule in TimeEdit

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