Time Series and Forecasting

Course Objectives

1. Teaching the properties of the stationary and non-stationary time serieste
2. Teaching forecasting with univariate time series
3. Teaching forecasting with multivariate time series
4. Teaching forecasting for variance

Topics

• Graphical Representations of Economic Time Series
• Ergodicity and Stationarity
• Univariate Stationary Processes:AR, MA, ARMA
• Exponential Smoothing
• Forecasting
• Unit Root tests
• Vector Autoregressive Process
• Cointegration
• Cointegration Vector Estimators
• Autoregressive Conditional heteroscedasticity
• Non Linear Time Series Models