Week # 14-15: Time Series Analysis

Asymptotic normality, efficiency, Comparison with OLS estimators, Instrumental variable (IV) estimators

Time Series Analysis

Rationale for univariate analysis, ARMA and ARIMA Models, Comparison of forecast based on ARIMA and regression models, Stationarity, Unit roots, co-integration and error correction models, Introduction to Autoregressive Distributed Lag models, ARCH models

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applied-econometrics-a-modern-approach-using-eviews-and-microfit-revised-edition.pdf (9.01 MB )

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