Econometric Time Series Analysis

AY2018/2019 Semester 1

This course provides an introduction to econometric time series techniques that are widely used in analyzing economic data. The course will meet the needs of students who plan more advanced studies in this area. Students are instructed on the econometric time series techniques that can be used for empirical economic studies, as well as to analyze financial time series. Topics covered include stationary time-series models, trends and volatility modeling, models for time-varying volatility, univariate processes with unit roots, multiequation time-series models, cointegration and the error-correction models.