Introduction to Time Series and Dynamic Econometrics

Course Objective
This course introduces students to time series analysis and dynamic econometric models for economics, business and finance.

Course Content
This course covers both theoretical and practical aspects of time series econometrics including the analysis of stationary and non-stationary stochastic processes in economics, business and finance.

The students are introduced to autoregressive moving average (ARMA) models, autoregressive distributed lag (ADL) models, and error correction models (ECM). Furthermore, the course provides both
theoretical and practical insights into parameter estimation for time-series models and the use of these models for forecasting, testingfor Granger causality, and performing policy analysis using impulse
response functions.

Finally, students become familiar with the fundamental problem of spurious regression in time-series analysis. We find a solution to this problem by taking a journey into the theory and practice behind unit-root tests, cointegration tests and error-correction representationtheorems.

Additional Information Teaching Methods
Lectures and practical classes. During practical classes time will be made for discussing exercises.

Method of Assessment
Final exam and group assignments – Individual assessment.

Literature
All relevant material can be found in the lecture notes and other study
material provided by the teacher.

Recommended optional reading material:

• J. Stock and M. Watson, 2011, Introduction to Econometrics. Prentice Hall. (all editions)
• P. Brockwell and R. Davis, 2010, Introduction to Time Series and Forecasting. Springer.
• C. Brooks, 2014, Introductory Econometrics for Finance. Cambridge University Press.

Additional Information Target Audience
This course in the minor Applied Econometrics is targeted at both econometrics and non-econometrics students that have a basic knowledge and understanding of mathematics, probability, statistics and computing.

Recommended background knowledge
This course builds on the foundations laid either in the sequence of courses in `Kwantitatieve Methoden` (in the Economics programme) or in that of `Statistics` and `Business Mathematics` (in the Business
Administration programme). It assumes familiarity with probability and statistics. This material corresponds more or less to Part I (Chapters 1-3) in Stock & Watson, and students are recommended to
refresh their memory on this prior to the first lecture.