Course description

This course builds on an earlier course in univariate time series and has the following objectives:

  1. To introduce the students to the main developments in time series econometrics which have assumed considerable importance in the last two decades.
  2. To provide the students with an understanding of the relevant concepts which are fundamental to an understanding of time series econometrics.
  3. To examine, in detail, the statistical models that are in use and the techniques and methods that are used in their analysis and to note their strengths and limitations.
  4. To consolidate the knowledge gained by solving simple problems.
  5. To provide the student with an ability to critically assess the many applications of time series eonometrics to problems in economics.