Time Series Econometrics

Coordinator: prof. dr. S.J. Koopman

Lecturers: prof. dr. S.J. Koopman

Course objective

To gain insights in economic time series modelling with a focus on theory, methods and computations.

Course content

This course focuses on the advances of theory and computational methods for time series econometrics. A methodology of econometric programming is explored for a number of selected topics in time series analysis. In particular, time series properties in time and frequency domains, different modeling strategies, likelihood evaluations, filtering methods and Monte Carlo simulation methods are studied. Theory and methods are studied thoroughly while some computer programs need to be developed for the implementation of the methods.

Course reading

Selection of literature:
– Brockwell, P.J. & R.A. Davis, Time Series: Theory and Methods. Springer-Verlag, 1991,2nd edition.
– Durbin, J. & S.J. Koopman, Time Series Analysis by State Space Methods. Oxford University Press, 2001.
– Kim, C-J & C.R. Nelson, State-Space Models with Regime Switching. The MIT Press, 1999.

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