| Description |
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This course introduces modern time series econometrics, catering to both univariate and multivariate time series processes. The initial segment of the course focuses on univariate time series, establishing foundational concepts before delving into the multivariate case, where the primary emphasis lies. Students will engage especially with Vector Autoregression (VAR) models, exploring their estimation, interpretation, and identification. The course begins with analyzing stationary processes and progresses to non-stationary contexts, incorporating cointegration analysis to address long-run relationships among variables. Additionally, the course covers advanced topics such as factor models, providing a broad perspective on contemporary econometric methods.
Hands-on computer exercises reinforce theoretical knowledge with practical skills every second week, allowing students to apply empirical techniques and engage in real-world econometric analysis.
Readings: We do not follow a single textbook during the semester but will provide specific references for each part of the course. The most important reference is Hansen's (2022) "Econometrics".
Language: English
Credits: 3 SWS / 4.5 ECTS
Prerequisites: Econometrics II is recommended
Lecture: Thursdays, 10.15-12.00hrs, tba
Exercises with assistant: Miguel Salema (miguel.salema@unibe.ch)
bi-weekly. thursdays, 14.15-16.00 hrs, tba
1st exam: Thursday, 17. December 2026, 10.15-12.00hrs (105 min), tba
2nd exam: Thursday, 18. February, 2027, 10.15-12.00hrs (105 min), tba |
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