Time Series Analysis
For this course the syllabus and full course materials are available.
Syllabus
- Difference equations.
- The lag operator and its use in time-series notation.
- ARMA models.
- Unit roots and ARIMA models.
- Trends, structural breaks and outliers.
- Fractional integration.
- Time-series filters: Hodrick-Prescott and band-pass filters.
- Beveridge-Nelson decomposition.
- Latent variable models and the Kalman filter.
- Seasonality and seasonal adjustment.
- Threshold autoregression.
- Markov-switching models.
- Autoregressive conditional heteroskedasticity.
- Vector autoregression.
- Cointegration.