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# Эконометрика временных рядов

2019/2020
Учебный год
RUS
Обучение ведется на русском языке
5
Кредиты
Кто читает:
Школа финансов
Статус:
Курс по выбору
Когда читается:
4-й курс, 1, 2 модуль

### Программа дисциплины

#### Аннотация

We first review the basics of time series econometrics. Then, in more details, we look at the VAR class of models, including VAR, VARX, VECM, GVAR, and its rather broad application to macroeconomics, including fiscal and monetary policy and some finance applications. After that, we cover ARCH, GARCH with its application to value at risk and contagion. Course Prerequesites: Linear Algebra, Probability Theory, Mathematical Analysis, Basic Econometrics

#### Цель освоения дисциплины

• The objective of this course is to provide the student with tools for empirical analysis of time series and to show how econometric models can be applied to empirical models in macroeconomics and finance.

#### Результаты освоения дисциплины

• Apply econometric models to empirical models in macroeconomics and finance

#### Содержание учебной дисциплины

• Introduction/reviewing of time series econometrics
(a) Time Series Data { Stochastic processes Stationary and Ergodic Processes (b) ARs, MAs and ARMA processes (c) Correlogram, forecasting, and lag length selection, Box-Jenkins approach
• Non-stationarity: trends (deterministic and stochastic) and unit root tests: conse- quences, detection, remedies, breaks
• ARIMA Processes, Trend-cycle decompositions (Beveridge-Nelson, Hodrik-Prescott)
• Multivariate Time Series Models. VAR
(a) Description of VAR models (estimation, impulse responses, variance decomposi- tion and forecasting) (b) Identication of VAR i. From VAR innovations to structural shocks ii. SVAR models: identication (short run, long run, sign restrictions) iii. Structural Shocks identied independently from VAR (c) Cointegration end Error Correction representation (ECM) (d) GVAR
• VAR applications
(a) Finance. Log-linearized Models of Stock and Bond Returns (b) Macro. Monetary policy (c) Macro. Fiscal policy
• Modeling the conditional variance (ARCH, GARCH, Multivariate GARCH)
(a) GARCH application: i. Value at Risk ii. Contagion

#### Элементы контроля

• Quizzes
• Home assignments
• Big practical homework
big practical homework in the end of the course
• Midterm test
Midterm test is not compalsory, it works only for your benet, if you would like to take it
• Final test
(if the grade of midterm is higher than the nal grade) and 60% other wise.

#### Промежуточная аттестация

• Промежуточная аттестация (2 модуль)
0.2 * Big practical homework + 0.3 * Final test + 0.15 * Home assignments + 0.3 * Midterm test + 0.05 * Quizzes

#### Рекомендуемая основная литература

• Applied econometric time series, Enders W., 2004

#### Рекомендуемая дополнительная литература

• Bruce E. Hansen. (2001). The New Econometrics of Structural Change: Dating Breaks in U.S. Labour Productivity. Journal of Economic Perspectives, (4), 117. https://doi.org/10.1257/jep.15.4.117
• Cochrane, J. H. (1994). Permanent and Transitory Components of GNP and Stock Prices. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.C46CF1D7
• Galí, J. (1996). Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations? CEPR Discussion Papers. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.p.cpr.ceprdp.1499
• Marianne Baxter, & Robert G. King. (1999). Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series. The Review of Economics and Statistics, (4), 575. https://doi.org/10.1162/003465399558454
• Sims, C. A., Stock, J. H., & Watson, M. W. (1990). Inference in Linear Time Series Models with Some Unit Roots. Econometrica, (1), 113. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.ecm.emetrp.v58y1990i1p113.44