Multivariate Time Series Analysis
Announcements
The lecture will be entirely taught online via Moodle and Zoom.
Syllabus
- Introduction to Stochastic Processes
- Autoregressive Moving Average Processes
- Estimation of Vector ARMA Models
- Prediction
- Testing for Causality
- Innovations Accounting
- Structural VAR
Intended audience: Advanced students and PhD students in econometrics, statistics, VWL, BWL, mathematics or computer science.
Prerequisites: Profound knowledge in matrix-algebra and econometrics (econometrics I) or statistics (linear models). Basic knowledge in univariate time series analysis is not demanded but of advantage.
Teaching Style: Online via Zoom and Moodle
Examination: (written) Exam
Record of Achievement: 3 ECTS + 3 ECTS
Time Schedule
The lectures and tutorials take place between 16.06.2020 (first lecture) and 21.07.2020.
| Lecture | Tuesday | 2 - 6 p.m c.t. | S. Mittnik |
| Tutorial | Monday | 4 - 8 p.m. c.t. | D. Mao |
All relevant material and information regarding the course can be accessed through Moodle.