文档介绍：附件三
课程简介及教学大纲
1、课程名称: Time Series Econometrics
课程简介: Syllabus
There has been an explosion of research in the area of the economic analysis of dynamic system in the last two decades, as "time series econometrics" has e to be synonymous with "empirical macroeconomics".
The course of Time Series Econometrics (TSE) is a graduate course which is in a subject field of econometrics.
课程 Objective of TSE:
The course is an introduction to time series econometrics at graduate level and it covers the core methods and time series models applicable on economic data.
pletion of this course the students will be able to:
--- Estimate and interpret the parameters of the ARMA model for stationary processes, as well as time trend and unit-root processes for non-stationary processes.
--- Estimate and interpret the parameters of the multivariate ARMA model with or without the assumption of stationarity, specifically VAR models containing unit roots.
--- Select amongst the core methods and models for a given set of economic data.
Also, the students will acquire knowledge of:
-- Principles for model-selection for ARMA
-- The unit-root econometrics
Teaching and learning methods:
Lectures.
Home-work consists of two parts: theoretical problems and empirical exercises (to be solved with the use of soft-ware)
Assessment:
Written Exam: 2-3 hours (50%)
Empirical Assig