Магистратура
2022/2023
Эконометрика временных рядов
Статус:
Курс по выбору (Прикладная экономика и математические методы)
Направление:
38.04.01. Экономика
Кто читает:
Департамент экономики
Где читается:
Санкт-Петербургская школа экономики и менеджмента
Когда читается:
2-й курс, 1, 2 модуль
Формат изучения:
без онлайн-курса
Охват аудитории:
для своего кампуса
Прогр. обучения:
Прикладная экономика и математические методы
Язык:
английский
Кредиты:
6
Контактные часы:
36
Course Syllabus
Abstract
Time series analysis is one of the natural extensions of Econometrics I and other corresponding econometrics related courses. The focus of the course is adopting and extending techniques and results from the baseline econometrics courses to the case of time series related theoretical and empirical problems
Learning Objectives
- supposed to provide the students with a set of tools that are useful for both theoretical and empirical modeling of dynamic economic data coming in the form of both univariate and multivariate time series
- content covers (but not limited to) an overview of the crucial theoretical results of contemporary time series econometrics and of the approaches towards empirical application of these results to empirical data and tasks, including estimation of dynamic economic models and practical forecasting.
Expected Learning Outcomes
- students will be able to statistically describe and analyze various dynamic economic data coming in the form of time series
- construct and analyze models of the corresponding economic processes, to construct relevant predictions of the data
Course Contents
- Inroduction to the course
- Stationarity
- Linear modeling
- Prediction
- Stationary linear regression
- Structural breaks and stability
Bibliography
Recommended Core Bibliography
- Tsay, R. S. (2010). Analysis of Financial Time Series (Vol. 3rd ed). Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=334288
Recommended Additional Bibliography
- Hamilton, J. D. . (DE-588)122825950, (DE-576)271889950. (1994). Time series analysis / James D. Hamilton. Princeton, NJ: Princeton Univ. Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edswao&AN=edswao.038453134
- Tagliabracci, A. (2018). Essays on macroeconomic forecasting. Universitat Autònoma de Barcelona, 2018. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edstdx&AN=edstdx.10803.665202