This course provides an introduction to modern time series econometrics. The first part of the course deals with univariate time series processes but the main emphasis is on the multivariate case. In particular, we study the estimation, interpretation, and identification of VAR models. The analysis starts from a stationary context, which is then extended to a non-stationary one including cointegration analysis. Finally, the course also examines factor models. Each week, exercises in the computer lab complement the lectures with empirical applications.
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