Universität Wien FIND
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390054 UK PhD-VGSE: Econometrics of Nonstationary Time Series (2011S)

Continuous assessment of course work

Please contact Maarten Janssen (maarten.janssen@univie.ac.at) to register for this course. To attend this course you should have the required background knowledge, be ambitious in progressing with your research, and participate actively in class.

Details

max. 24 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

Monday 07.03. 13:30 - 17:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
Monday 28.03. 13:30 - 17:00 (Seminarraum 2 Hohenstaufengasse 9 1.Stock)
Monday 11.04. 13:30 - 17:00 (Seminarraum 2 Hohenstaufengasse 9 1.Stock)
Monday 02.05. 13:30 - 17:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
Monday 16.05. 13:30 - 17:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)
Monday 06.06. 13:30 - 17:00 (Seminarraum 2 Hohenstaufengasse 9 1.Stock)
Monday 27.06. 13:30 - 17:00 (Seminarraum 2, Maria-Theresien-Str.3/Mezzanin, 1090 Wien)

Information

Aims, contents and method of the course

Many master's programs contain by now some discussion of unit root and cointegration analysis. In typical MA/MSc courses, however, such courses do not contain a detailed discussion of the underlying mathematical and statistical concepts. In this course unit root and cointegration analysis will be presented in a formally concise way. The course will start with unit root analysis and will thereafter continue with a detailed discussion of cointegration and will characterize the presence of cointegration in several widely-used statistical model (e.g. in the so-called triangular representation, in vector autoregressive models and state space models). After the structure theoretical analysis tools for estimating models for cointegrated time series as well as tests for the dimension of the cointegrating space will be discussed. The discussion will be augmented by also touching upon topics relevant for empirical research (including e.g. impulse response analysis in structural vector autoregressive models with cointegration).

Assessment and permitted materials

Minimum requirements and assessment criteria

Examination topics

Reading list


Association in the course directory

Last modified: Fr 31.08.2018 08:58