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 will focus on the most important time series models for the analysis of macro and financial data.

The course is fully practical.  Theoretical explanations are followed by individual hands-on exercises on the computer. Please bring your laptop. If you don't have EViews, we will install it on your laptop and will provide a temporary course license.

The course is divided in four parts:

1. Refresher in basic econometric models and inference techniques (linear regression model, OLS, maximum likelihood and testing).
2. Basic concepts of time series (causality, exogeneity, white noise, martingale, etc).
3. Univariate time series models: Autoregressive (AR), Moving Average (MA), ARMA Unit roots and ARIMA. We will study their model structure, properties, estimation and forecasting.
4. Multivariate analysis. We will first focus on models for a reduced number of time series: Vector Autoregressive (VAR), cointegration and Vector Error Component (VECM). In the second part, we  will study factor models, which are appropriate for large panels (hundreds of time series).
 

Schedule

Fees

The fee for the course is US$2,760. 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.