Course content

The course treats econometric methods for analysis of time series with a particular focus on applications in finance and macroeconomics. The topic deals with strategies for empirical modelling of dynamic models. Methods for modelling non-stationary variables are emphasised. The course introduces methods for studying non-linear models and regime shifts, modelling volatility in financial variables and the use of panel data. Examples of specific applications are given, both in empirical macroeconomics and finance.

Learning outcome

The students should be able to apply the main econometric methods for time series data. The students should have knowledge of econometric methods for the analysis of financial and macroeconomic issues, including the treatment of multivariate and non-linear models. Students should be able to use these methods on specific questions.

Learning methods and activities

4 hours of lectures every week. Two compulsory term papers. The course can be taught in English when there are English-speaking students who meet the recommended previous knowledge.

Compulsory assignments

• Two approved term paper

Recommended previous knowledge

Compulsory courses in Master’s degree in Economics.

Required previous knowledge

None.

Credit reductions