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Time Series Econometrics


Analysis of macroeconomic data using time series methods. A key feature of time series data is the temporal dependence of the observations, which can often be captured by linear univariate and multivariate autoregressive models. Such autoregressive models will be analysed in terms of econometric properties, interpretation, asymptotic distribution theory as well as empirical illustrations. The first part of the lectures will cover analysis of stable, or stationary, autoregressions. Since most macroeconomic time series appear non-stationary, the second part will cover the analysis of non-stationary autoregressions and cointegration.