Outline of the course (Link)

Lecture 1. Basics of Time Series (Link)

Lecture 2. ARIMA Model (Link)

Lecture 3. Regression with Stationary Time Series (Link)

Lecture 4. Vector Auto Regressive (VAR) Models (I) (Link)

Lecture 5. Vector Auto Regressive (VAR) Models (II) (Link)

Lecture 6. Stochastic Volatility: Conditional Heteroskedasticity Models (Link)

Lecture 7. Nonstationarity, Unit Root Series, Dickey-Fuller Test (Link)

Lecture 8. Cointegration and Error Correction Model (Link)

Lecture 9. Vector Error Correction Model (VECM)(Link)

Lecture 10. Seasonality and HP filter (Link)

Lecture 11. Basics of Bayesian Econometrics (Link)

Lecture 12. Bayesian Econometrics: Posterior Distribution (Link)