Weeks | Topics |
1 |
Introduction and Basics, The Lag Operator , Ergodicity and Stationarity and The Wold Decomposition
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2 |
Univariate Stationary Processes: AR(p), MA(q) and ARMA(p,q) processes and Forecasting
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3 |
Granger Causality, Causality Tests, Applying Causality Tests in a Multivariate Setting
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4 |
Vector Autoregressive Processes(VAR): Representation of the System, Granger Causality, Impulse Response Analysis and Variance Decomposition
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5 |
Vector Autoregressive Processes(VAR): Representation of the System, Granger Causality, Impulse Response Analysis and Variance Decomposition
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6 |
Nonstationary Processes: Forms of Nonstationarity, Trend Elimination, Unit Root Tests
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7 |
Decomposition of Time Series, Fractional Integration, Seasonal Integration , Deterministic versus Stochastic Trends in Economic
Time Series
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8 |
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9 |
Cointegration: Cointegration in Single Equation Models, Representation,
Estimation and Testing
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10 |
Cointegration in Vector Autoregressive Models: The Vector Error Correction Representation ,The Johansen Approach , Analysis of Vector Error Correction Models
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11 |
Nonstationary Panel Data: Issues with Panel Data, Panel Unit Root Tests,
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12 |
Panel Cointegration: Single Equation Approaches and System Approaches
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13 |
Autoregressive Conditional Heteroscedasticity: ARCH Models and GARCH Models
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14 |
Autoregressive Conditional Heteroscedasticity: Estimation and Testing and Multivariate Models , ARCH/GARCH Models as Instruments of Financial Market Analysis
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