G30 Special Topics in Economics (Applied Econometric Time Series)

1st	October	3rd		Introduction, forecasting
2nd		17th	pp. 1-48	Difference equations
3rd		24th		cancelled
4th		31th	pp. 49-78	Stochastic difference equation models, ARMA models, stationarity, (sample) (partial) autocorrelation function
5th	November	7th	pp. 78-120	Box-Jenkins model selection, properties of forecast, a model of the interest rate spread, seasonality, parameter instability and structural change
6th		14th	pp. 121-146	Economic time series, ARCH processes, ARCH and GARCH estimates of inflation, two examples of GARCH models, the ARCH-M model
7th		28th	pp.147-180	MLE of GARCH models, IGARCH, TARCH, EGARCH, estimating the NYSE International 100 index
8th	December	5th	pp. 181-215	Deterministic and stochastic trends, removing the trend, unit roots and regression residuals, Dickey-Fuller tests, examples of the Dickey-Fuller test
9th		12th	pp. 215-271	Extentions of the Dickey-Fuller test, structural change, power and the deterministic regressors, determination of the deterministic regressors
10th		19th	pp. 272-307	Intervention analysis, transfer function models, estimating a transfer function, introduction to VAR analysis
11th		26th	pp. 307-355	The impulse response function, testing hypotheses, structural VARs
12th	January	16th	pp. 356-373	Linear combination of integrated variables, cointegration and common trends, cointegration and error correction
13th		23th	pp. 373-390	Engle-Gragner test, cointegration and PPP, characteristic roots, rank and cointegration
14th		30th	pp. 390-427	Cointegration rank test, hypothesis testing, Johansen methodology
15th	February	6th	pp. 428-487	Linear vs nonlinear adjustment, simple extensions of the ARMA modelpretesting for nonlinearity, threshold AR models,
				extensions of the TAR model, smooth-transition models, other regime-switching models