Econometrics II

Code: PECO5044
Course: Masters Degree in Economics
Credits: 4
Hourly load: 60
Syllabus: Stochastic processes. Time series models and their dynamic properties. Univariate models: ARIMA and its extensions. Stationarity and unit root. Multivariate models: VAR / VECM. Impulse response function. Cointegration. Introduction to volatility models: ARCH-GARCH. Estimation, inference, modeling cycle, and forecasting.
Bibliography: ENDERS, W. (2004). Applied econometric time series. Hoboken: John Wiley & Sons.
HAMILTON, J.D. (1994). Time Series Analysis. Princeton University Press.
HENDRY, D.F. (1995). Dynamic Econometrics. Oxford University Press.
HAYASHI, F. (2000). Econometrics. Princeton University Press.
WOOLDRIDGE, J.M. (2002). Econometrics Analysis of Cross‐Section and Panel Data. The MIT Press.
JUSELIUS, K. (2006). The cointegrated VAR model: methodology and applications. Oxford University Press.
LÜTKEPOHL, H. (2005) New introduction to multiple time series analysis. SpringerVerlag.
MADDALA, G.S., Kim, I.M. (1998). Unit roots, cointegration and structural change.
Cambridge University Press.
SHUMWAY, R.H. and STOFFER, D.S. (2017). Time Series Analysis and Its Applications - With R Examples. Springer.
TSAY, R.S. (2010). Analysis of Financial Time Series. Wiley Series in Probability and Statistics.
_________. (2013). Multivariate Time Series Analysis: With R and Financial Applications. Wiley Series in Probability and Statistics.