Анализ временных рядов
- The students should get acquainted with the main concepts of Time Series theory and methods of analysis. They should know how to use them in examining financial processes and should understand methods, ideas, results and conclusions that can be met in the majority of books and articles on economics and finance. In this course, students should master traditional methods of Time Series analysis, intended mainly for working with time series data. Students should understand the differences between cross-sections and time series, and those specific economic problems, which occur while working with data of these types.
- Students should become skillful in analysis and modelling of stochastic processes of ARMA (p, d, q) models, get acquainted with co-integration and error correction models, autoregressive models with distributed lags, understand their application in economics. Considered methods and models should be mastered by practice using real economic data and modern economic software Econometric views and R.
- Stochastic process and its main characteristics
- Autoregressive-moving average models ARMA (p,q). Estimation of coefficients of ARMA (p,q) processes. Box-Jenkins’ approach
- Forecasting in Box-Jenkins model
- Non-stationary time series
- Unit root problems. Unit root and structure changes
- Regressive dynamic models
- Vector autoregressive model and co-integration
- Causality in time series
- time econometric research
- control work
- exam workThe final test is scheduled for 26.06 at 18:30. Short description Time series and Econometrics exams are organized in written form with asyncronious proctoring. The exam problems will be available at the Google Forms platform: Econometrics: https://forms.gle/ZSQy7aK7XJC6xe476 Time series: https://forms.gle/NBcc3VjCtqpYsBBZ9 Proctoring will be provided at the Examus platform: https://hse.student.examus.net You should authentificate at the Examus platform 5 minutes before the exam. You should turn on your microphone and camera and prove your identity with passport. During the exam you can use one A4 cheat sheet and calculator. Critical values will be provided in the text of the exam. You are not allowed to google or to chat with other persons. Internet connection missing for more than 10 minutes is considered as a long-term loss of connection. In this case you will have a retake exam with the same rules. The lengh of the exam is 120 minutes. Check the requirements for your computer at https://elearning.hse.ru/data/2020/05/07/1544135594/Технические%20требования%20к%20ПК%20студента.pdf May the Force be with You!
- Interim assessment (3 module)0.2 * control work + 0.6 * exam work + 0.2 * time econometric research
- Applied econometric time series, Enders W., 2004
- Michael Beenstock, & Daniel Felsenstein. (2019). The Econometric Analysis of Non-Stationary Spatial Panel Data. Springer. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.spr.adspsc.978.3.030.03614.0
- Whang,Yoon-Jae. (2019). Econometric Analysis of Stochastic Dominance. Cambridge University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.cup.cbooks.9781108472791
- Banerjee, A., Dolado, J. J., Galbraith, J. W., & Hendry, D. (1993). Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data. Oxford University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.oxp.obooks.9780198288107