Advanced Time Series

Objectives

Master multivariate time series analysis techniques commonly used in applications.

Know how to use estimation procedures in a non-stationary setting (presence of unit roots and cointegration).

Implement the estimation and testing methods presented in the course on real data

Course outline

1: Stationary processes (reminders and extensions): Estimation and testing of ARMA, SARIMA, GARCH, EGARCH processes…
2: Non-stationary processes: estimating and testing unit-root processes and estimating cointegrating relationships.

Prerequisites

Time series course in 2A