Lecture notes

Outline of the course

Lecture 1: Characteristics of economic time series data;

Lecture 2: Wold Decomposition and ARMA Models;

Lecture 3: Invertibility and Causality;

Lecture 4a: Estimation and Inference of the Mean;

Lecture 4b: Estimation and Inference of ARMA model;

Lecture 5: Model Identification and Diagnostic;

Lecture 6: Forecasting

Lecture 7: ARDL Models

Lecture 8: Unit Root and Spurious Regressions

Examples

Lecture 9: Cointegration

Econometric Techniques - Formula fact sheet