Wednesday, 13:30 -17:00 :: C-5c
Jacek Suda, Department of Quantitative Economics
- The lecture on Wednesday 20.03 will finish at 15:25.
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; 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.