Raffaella Giacomini - Mini course

This course is a graduate-level introduction to time series econometrics.
The course will provide an overview of the standard methods for analyzing macroeconomic and, to a lesser extent, financial time series data.
It assumes a knowledge of undergraduate-level statistics, econometrics and (very basic) notions of probability theory.
In particular, you should be familiar with the following concepts: random variables, asymptotic theory, estimation and inference in the linear regression model, hypothesis testing.
The course will consist of four lectures on 3 hours each on the following topics: Basics of asymptotic theory and inference in the linear model using time series data - ARMA models - GARCH models - Multivariate methods: VAR, Impulse-response analysis, Cointegration - Dealing with persistence in the data: detrending methods and unit roots.

Contact Information         
tel:  03 640 7970  
fax: 03 640 9908

email: r.giacomini@ucl.ac.uk

room number: 209

visiting days: April  26th,  2014 -May  5th,  2014
          
Course Title:  Time Series Econometrics

Course ID:  1011436601

Teaching Schedule
1: Sun 27.04.14  14:00-17:00 r.101
2: Mon 28.04.14  18:00-21:00 r.101
3: Tue 29.04.14  18:00-21:00 r.101
4: Sun 04.05.14  14:00-17:00 r.101