Spring 2023

  • Wednesday,   13:30 -16:50     ::   2A/C



  • The take home exam will start on Thursday 15/6 noon and you have to submit the answer (on Teams) by Friday 16/6, 6pm.




  • The purpose of this course is to familiarize students with current techniques used in macroeconomic time series models with applications in macroeconomics, international finance, and finance; with the ultimate aim of providing students with the necessary tools to conduct original research in the area.

    Topics include ARMA models, VARs and impulse response functions; local projection; unit roots, and structural breaks; spurious regressions; cointegration and VECM; ARCH models of volatility, and trend/cycle decomposition methods, including Kalman filtering.

    We will mostly work with the classical framework in the time domain but will touch upon Bayesian and frequency domain frameworks.