Objectives
After the course, the student
- knows the basic properties of linear univariate and multivariate time series models and the related methods introduced,
- understands the concepts of stationarity, unit root and cointegration, and knows how to deal with unit root type nonstationarity in empirical work,
- is familiar with autoregressive conditional heteroskedasticity models designed to capture time-varying volatility,
- is able to critically follow empirical research that employs the methods considered,
- is able to apply the methods covered in empirical research.
- Teacher
Henri Nyberg