[s21] Multivariate Time Series Analysis (Czudaj)

Syllabus

1. Introduction to Stochastic Processes
2. Autoregressive Moving Average Processes
3. Estimation of Vector ARMA Models
4. Prediction
5. Testing for Causality
6. Innovations Accounting
7. Structural VAR

Intended audience: Advanced students and PhD students in econometrics, statistics, VWL, BWL, mathematics or computer science.

Prerequisites: Profound knowledge in matrix-algebra and econometrics (econometrics I) or statistics (linear models). Basic knowledge in univariate time series analysis is not demanded but of advantage.

Teaching Style: Online via Zoom and Moodle

Examination: (written) Exam

Record of Achievement: 3 ECTS + 3 ECTS

Time Schedule