This Macroeconometrics module covers the time series models and statistical techniques used to analyse time series data in economics and finance. This module has two main objectives. The first is to equip students with the tools necessary for state-of-the-art empirical research with economic time series data (macro-economics, finance, marketing, accounting etc.) The second objective is to lay out the econometric theory of time series analysis, with an emphasis on recent developments in selected topics.
The first block of the module presents the theory of univariate stationary and nonstationary time series variables. The second block focuses on the multivariate level covering the different aspects of the VAR modelling that have been relevant in the recent macroeconomic time series literature. The third block consists of some further topics on recent developments in macroeconometric analysis.
The final block is about inspiring and motivating students to work with recently developed econometric techniques and provide a view on recent questions in time-series econometrics.