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Wednesday, 15:30 -18:50 :: C-4D
Lecturer
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Jacek Suda, Department of Quantitative Economics
Email: jacek.suda@sgh.waw.pl
Announcements
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Classes are taking place in room C-4D. We start at 15:30.
Homeworks
Lectures
Slides: Syllabus
Slides: ARMA models
Slides: Short introduction to Stata
Data: gdpq.prn; and do-file: time_series_stata.do
Slides: State-space form; Kalman Filter
do-files: state-space model: StateSpaceStata.do; Kalman filter: StateSpaceKFStata.do
Description
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The purpose of this course is to familiarize students with current techniques used in macroeconomic time series models with applications in macroeconomics, international finance, and finance; with the ultimate aim of providing students with the necessary tools to conduct original research in the area.
Topics include ARMA models, (B/S)VARs and impulse response functions; local projection; unit roots, and structural breaks; spurious regressions; cointegration and VECM; ARCH models of volatility, and trend/cycle decomposition methods, including Kalman filtering.
We will mostly work with the classical framework in the time domain but will touch upon Bayesian framework.