HUL715
| HUL715 | |
|---|---|
| Time Series Econometrics and Forecasting | |
| Credits | 3 |
| Structure | 3-0-0 |
| Pre-requisites | For UG students: HUL315 / HUL215 |
| Overlaps | |
HUL715 : Time Series Econometrics and Forecasting
[edit]1. Stationary Univariate Models : (a) Difference equation; (b) Wold's decomposition; (c) ARMA models; d. Box-Jenkins methodology; (e) Model Selection; (f) Forecasting. 2. Non-stationary univariate models: (a) Trend/cyclical decomposition; (b) Deterministic and stochastic trend models; (c) Unit root tests; (d) Stationarity tests. 3. Structural change and non-linear models: (a) Test for structural change with unknown change point; (b) Estimation of linear models with structural change; (c) Regime switching models. 4. Stationary multivariate models; (a) Dynamic simulteneous equation models; (b) Vector Auto Regression (VAR); (c) Granger causality; (d) Impulse response function. 5. Non-stationary multivariate models: (a) Spurious regression; (b) Co-integration; (c) Vector Error Correction (VECM) model. 6. Time series model of heteroskedasticity: (a) ARCH, GARCH models.