Instructors

Prof. David Veredas, Professor of Econometrics, ECARES, Free University of Brussels (ULB)

Kaveh Vakili, Assistant of Econometrics, ECARES, Free University of Brussels (ULB)

Overview
The course reviews the most important univariate time series models for the analysis of macro and financial data.

The course starts with a refreshment of basic econometric models and inference techniques (linear regression model, OLS, maximum likelihood and testing.)

The fundamentals of econometrics are followed by time series models of macro data and financial returns. We will inparticular study two families of models that are well suited for these data: ARMA and GARCH models.

The course is fully practical. Each theoretical introduction is followed by hands-on training in the computer lab.

Prerequisites

No previous knowledge of econometrics or EViews is required.

Schedule

Thursday, July 24: Introduction to EViews and refresher in econometrics
Friday, July 25: Autoregressive models
Saturday, July 26: Moving Average models
Monday, July 28: ARMA and seasonal models
Tuesday, July 29: Introduction to volatility and GARCH models
Wednesday, July 30: Non Gaussian GARCH(1,1) and extensions

Fees

The fee for the course is 2,760 euros. This includes course materials, lectures, computer labs, lunches, morning and afternoon coffee breaks, receptions. University students and staff get a discount of 25 percent of the above mentioned amount. Please include a photocopy of your student or staff card. You can pay by check, credit card (Visa, American Express, Diners Club, or MasterCard) or bank transfer.

Registration and Payment: For details please click here.