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- Code:
- ECOM-R321/SOC-9321
- Field:
- Econometrics
- Targets:
- Research Master's students PhD students
- Organiser:
- University of Helsinki - Economics
- Instructor:
- Mika Meitz
- Period:
- Period 3
- Format:
- Participation in teaching
- Method:
- Distance teaching
- Remote:
- Zoom link can be found in Moodle
- Enrollment:
Equivalent to ECOM-R321 Advanced Econometrics 3
In case of conflicting information consider the Sisu/Course/Moodle pages the primary source of information.
Aalto, Hanken and UH economics students can enroll through their home university’s SISU. Further instructions are available on the How to enroll? page, also for students from other universities.
If you would like to count the credits towards your degree, please check your curriculum or contact your supervisor or student services for guidance.
- To access the Moodle course area, use all the features and participate in the activities (assignments, discussions), you must have successfully registered for the course in Sisu and logged in with your UH user ID.
- For more information on how to activate your UH user ID and register for a Moodle course area, click here.
Content
The course covers a number of models and methods employed in time series econometrics, especially in applications to macroeconomics and finance. The emphasis is on modelling multivariate time series, and after a review of linear univariate time series models, vector autoregressive (VAR) models, cointegration and predictive regressions are considered. Specifically, the topics covered in the course include the following:
- Basic time series concepts
- Stationary univariate autoregressive moving average (ARMA) models
- Nonstationarity (unit roots and cointegration)
- Vector autoregressive models
- Methods for big dependent data
Learning outcomes
After the course, the student should
- knows the foundations of linear univariate and multivariate time series models and the related methods introduced,
- is familiar with selected more advanced methods of time series econometrics,
- is able to critically follow empirical research that employs the methods considered,
- is able to employ the methods covered in empirical research.