400024 SE Advanced Topics in Time Series Analysis (2024S)

Lecturer: Paul Kellstedt

This lecture series will cover advanced topics in time series analysis. Lectures will subjects such as include cointegration and general error correction models, fractional integration, dynamic conditional correlation models, structural breaks and regime changes, bounds methods for inference, interaction models in time series analysis, modelling dynamic compositional variables, and others. A basic background in time series fundamentals is assumed. The lectures will make use of basic scalar and matrix algebra. Applications and examples used in this lecture series will employ both STATA and R.