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 modeling of dynamic models. Methods for modeling non-stationary variables are emphasised. Methods for studying non-linear models and regime shifts are introduced, and also use of panel data and modeling of volatility in financial variables. Examples of specific applications are given, both in empirical macroeconomics and finance.

Learning outcome

Students should be able to use central econometric methods in processing time series. The students will achieve advanced 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 in problem-solving.

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 papers

Recommended previous knowledge

Compulsory courses in Master’s degree in Economics.

Required previous knowledge

None.

Credit reductions