DAY ONE
Date: July 29
Time: 14.30-16.00
Topics: Stationarity and ergodicity, mean reversion, loss of memory. Stationary and nonstationary variables: totally different behavior. Trends versus random walks: is GNP trend deterministic or stochastic?
Format: lecture
Required reading: Enders, Walter, Applied Econometric Time Series, chapter 2, sections 3.8-3.11.
Assignments: Problems on stationarity.
Time: 16.30-18.00
Topics: Introduction to Econometric Views. Stationary and nonstationary series.
Format: practical session with computer exercises
DAY TWO
Date: July 30
Time: 14.30-16.00
Topics: Autoregressive linear processes: estimation, testing and model selection. Prediction and prediction errors.
Format: lecture
Required reading: Enders, Walter, Applied Econometric Time Series, chapter 2.
Assignments: Problems on autoregressions.
Time: 16.30-18.00
Topics: Autoregressions and their estimation.
Format: practical session with computer exercises
DAY THREE
Date: July 31
Time: 14.30-16.00
Topics: Nonstationary univariate time series: stochastic and deterministic trends. Testing for unit roots.
Format: lecture
Required reading: Enders, Walter, Applied Econometric Time Series, chapter 4.
Assignments: Problems on unit roots.
Time:
Topics:Unit roots.
Format: practical session with computer exercises
DAY FOUR
Date: August 1
Time: 14.30-16.00
Topics:Vector autoregressions. Identification of VAR: structural vs. reduced forms, the simultaneity problem and identifying restrictions. Estimation of VAR. Granger causality. Impulse response functions. Variance decomposition.
Format: lecture
Required reading: Enders, Walter, Applied Econometric Time Series, chapter 5.
Assignments: Problems on VARs
Time: 16.30-18:00
Topics: Vector autoregressions and their estimation. Testing for Granger causality. Construction of impulse response functions and variance decomposition.
Format: practical session with computer exercises
DAY FIVE
Date: August 2
Time: 14.30-16.00
Topics: Nonstationary multivariate time series: spurious regression and cointegration.
Format: lecture
Required reading: Enders, Walter, Applied Econometric Time Series, chapter 4.
Assignments: Problems on cointegration
Time: 16.30-18.00
Topics: Spurious regression. Testing for cointegration and estimation of the cointegration relationship.
Format: practical session with computer exercises