Econometrics of Time Series

The course includes econometric methods to analyse time series data with an emphasis on applications to finance and macroeconomics. Different methods of modelling non-stationary data are presented, and there is an introduction in methods to analyse nonlinear models. It will be an emphasis on applications of the methods.

The students should be able to apply the main econometric methods for time series data. In addition, the students should have knowledge of econometric methods to analyse financial and macroeconomic questions and to handle multivariate and nonlinear models. The students should be able to use the methods on specific questions.

2 hours of lectures every week. One compulsory term paper. The course can be taught in English if requested.