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- Code:
- ECOM-R321/DPE-9321
- Field:
- Econometrics
- Targets:
- Research Master's students PhD students
- Organiser:
- University of Helsinki - Economics
- Instructor:
- Mika Meitz
- Period:
- Period 3
- Format:
- Lecture
- Method:
- Online teaching
- Remote:
- Zoom link can be found in Moodle
- Enrollment:
In case of conflicting information consider the Sisu/Course/Moodle pages the primary source of information.
Aalto and Hanken economics students can enroll in their home university’s SISU! Further instructions can be found on the How to enroll page, also for other students.
Before taking and completing the course make sure that the credits can be counted towards your degree at your home university by checking which courses are included in your curriculum or by contacting your home university’s student/learning services.
Please note that there is a different code for UH PhD students: DPE-9321
Content
This course covers a number of models and methods employed in time series econometrics. The emphasis is on stationary univariate models, but vector autoregressive models and nonstationarity are also discussed. Specifically, the topics covered on the course include the following:
- Basic time series concepts
- Methods for stationary univariate data: ARMA models, ARCH models
- Nonstationarity (unit roots, cointegration)
- Vector autoregressive models
Learning outcomes
After the course, the student should
- Know the basic properties of the time series models and the related methods introduced
- Be able to critically follow empirical research that employs them
- Be able to apply them in empirical research
- Have the basic knowledge for more advanced methodological and applied studies in time series econometrics