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Бакалавриат 2019/2020

## Эконометрика временных рядов

Направление: 38.03.01. Экономика
Кто читает: Школа финансов
Когда читается: 4-й курс, 1, 2 модуль
Формат изучения: без онлайн-курса
Язык: английский
Кредиты: 6

### Course Syllabus

#### Abstract

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

#### Learning Objectives

• 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

#### Expected Learning Outcomes

• Apply econometric models to empirical models in macroeconomics and finance

#### Course Contents

• 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

#### Assessment Elements

• Quizzes
• Home assignments
• Big practical homework
big practical homework in the end of the course
• Midterm test
(only if the grade is higher than Final).
• Final test

#### Interim Assessment

• Interim assessment (2 module)
0.2 * Big practical homework + 0.3 * Final test + 0.15 * Home assignments + 0.3 * Midterm test + 0.05 * Quizzes

#### Recommended Core Bibliography

• Applied econometric time series, Enders, W., 2004