Introduction to Time Series and Dynamic Econometrics - Period 1

This course covers both theoretical and practical aspects of time series econometrics including the analysis of stationary and non-stationary stochastic processes in economics 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 insight into parameter estimation in time-series and the use of these models for forecasting, testing for Granger causality, and performing policy analysis using impulse response functions. Finally, the 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 representation theorems.

Vrije Universiteit Amsterdam (VU Amsterdam) awards credits based on the ECTS system. Contact hours listed under a course description may vary due to the combination of lecture-based and independent work required for each course therefore, CEA's recommended credits are based on the ECTS credits assigned by VU Amsterdam. 1 ECTS equals 28 contact hours assigned by VU Amsterdam.