Introduction to time series econometrics


Objectif

– Generalities on univariate second-order stationary processes – Autocovariances, partial autocorrelations – Innovations – Wold theorem – Asymptotic properties of empirical moments.
– AR, MA, ARMA, SARIMA processes – Canonical representation – Identification, estimation, tests and forecasting – Model building – Nonstationary models, Unit root tests.
– Stationary vector processes – Multivariate AR models – Statistical Inference – Causality tests, impulse-response analysis.
– Non-stationary vector processes and definition of cointegration – Cointegrated VAR models and error-correction models (ECM) – Estimation of cointegrated VAR – Testing for Cointegration.

Plan

Références