Econometrics I (Part II, WS21/22)

The second part of the course "Econometrics I" is a survey of the theory of time series methods in (advanced) econometrics. We will cover (classical) topics including univariate stationary and non-stationary models, vector autoregressions, vector error correction models and both univariate and multivariate models for volatility. Empirical applications in the course will be drawn from macroeconomics.