Courses Exchange Display 2018-2019

Course Description To PDF
Course title Time Series Methods and Dynamic Econometrics
Course code EBC4008
ECTS credits 6,5
Assessment None
Period
Period Start End Mon Tue Wed Thu Fri
2 29-10-2018 21-12-2018 X X X
Level Advanced
Coordinator Ines Wilms, Sean Telg
For more information: I.Wilms@maastrichtuniversity.nl; J.Telg@maastrichtuniversity.nl
Language of instruction English
Goals
The objectives of this course are to provide students with an understanding of the concepts of modern time series methods as well as practical experience in analysing time series from economics or business. Students will have learned recent econometric methods to study multivariate economic time series. Students should be able to apply these methods to economic data.
Description
The emphasis of this course is on the study of methods for the analysis of possibly nonstationary economic time series. We consider both theoretical and practical aspects. We cover and discuss issues related to exogeneity and causality in dynamic econometric models, modelling univariate and multivariate nonstationary processes, unit roots, cointegration as well as the asymptotic theory for integrated processes. Empirical applications are also considered so that the course will provide students with practical experience in analysing univariate and multivariate time series cointegration, factor models as well as from economics or business.
Literature
Davidson J. (2000), Econometric Theory, Basil Blackwell, Oxford.
Reader.

Pesaran, H.M. (2015), Time Series and Panel Econometrics (Oxford University Press: Oxford).
Prerequisites
- Econometric methods (EBC2111), Stochastic Processes (EBC4004).
- Exchange students need to have a solid background in econometric methods, probability theory, mathematical statistics, and some knowledge in stochastic processes (some familiarity with Brownian Motion theory is important). Exchange students need to have obtained a Bachelor degree and an advanced level in mathematics and probability and statistics.
An advanced level of English.
Teaching methods PBL / Presentation / Lecture / Groupwork
Assessment methods Final Paper / Participation / Written Exam
Evaluation in previous academic year For the complete evaluation of this course please click "here"
This course belongs to the following programmes / specialisations
Master Business Research Free Electives
Master Business Research - Operations Research Free Electives
Master Economic and Financial Research - Econometrics Electives
Master Economic and Financial Research - Econometrics Track Econometrics Core Courses
Master Economic and Financial Research Electives
Master Econometrics and Operations Research Actuarial Science
Master Econometrics and Operations Research Econometrics
Master Econometrics and Operations Research Econometrics & OR Electives
Master Financial Economics Electives
SBE Exchange Master Master Exchange Courses
SBE Non Degree Courses Master Courses