Multivariate Time Series Analysis 2020 /CourseID:1497

Detailed information

Most recent entry on 2020-08-11 

Organisational Unit

Fachbereich Wirtschafts- und Sozialwissenschaften

Recording type

Vorlesungsreihe

Via

IdM-login / Studon

Language

English

Master course on multivariate time series econometrics.

Brief repetition of concepts of univariate time series analysis; stationary vector autoregressive (VAR) processes: basics, estimation, lag order selection, specification testing, forecasting; structural VAR models: various methods for identifying macroeconomic shocks; non-stationary/integrated processes: spurious correlation vs. cointegration, error correction models; multivariate GARCH models.

(Please note that some of the lectures were done live on Zoom. Therefore, some course topics are not covered by the video clips available here.)

Associated Clips

Episode
Title
Lecturer
Updated
Via
Duration
Media
1
1.1 Examples of Time Series
Prof. Dr. Jonas Dovern
2020-04-03
IdM-login / Studon
00:08:24
2
1.2 Introducing the Time Dimension
Prof. Dr. Jonas Dovern
2020-04-03
IdM-login / Studon
00:13:03
3
1.3 Stochastic Processes
Prof. Dr. Jonas Dovern
2020-04-03
IdM-login / Studon
00:16:25
4
2.1 White Noise Processes
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:04:05
5
2.2 Moving Average Processes
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:06:55
6
2.3 Autoregressive Processes
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:09:48
7
2.4 The Lag Operator
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:04:44
8
2.5 ARMA Processes
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:10:43
9
3.1 Stationarity
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:13:24
10
3.2 MA Representation
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:05:22
11
3.3 Unit Root Tests
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:07:33
12
4.1 Multivariate Sample Moments
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:08:06
13
4.2 Multivariate Probability Distributions
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:09:05
14
4.3 Marginal and Conditional Distributions
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:07:14
15
4.4 Multivariate White Noise and Autocorrelation Tests
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:05:42
16
6.1 Least Squares Estimator for VARs
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:08:47
17
6.2 Asymptotic Properties of LSE for VARs
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:06:22
18
6.3 Maximum Likelihood Estimator for VARs
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:10:59
19
7.1 Forecasting with VARs
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:10:05
20
7.2 FEV of Estimated VARs
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:03:35
21
7.3 Granger Causality
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:04:33
22
7.4 Testing for Granger Causality
Prof. Dr. Jonas Dovern
2020-08-10
IdM-login / Studon
00:07:23
23
9.1 Non-recursive SVARs
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:05:57
24
9.2 Estimating Non-recursive SVARs
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:05:41
25
9.3 Long-run Restrictions for SVAR Identification
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:09:37
26
9.4 Alternative Methods for SVAR Identification
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:09:43
27
9.5 Forecast Error Variance Decomposition
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:07:17
28
10.1 Spurious Regression
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:08:12
29
10.2 Cointegration
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:09:23
30
10.3 Super Consistency
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:04:48
31
10.4 The Math behind Super Consistency
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:10:00
32
10.5 Estimation of Error Correction Models
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:07:10
33
12.1 Properties of Financial Time Series
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:08:39
34
12.2 Why Are Volatility Models Important?
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:02:16
35
12.3 The ARCH Model
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:08:04
36
12.4 The GARCH Model
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:02:11
37
12.5 Estimating (G)ARCH Models
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:07:19
38
12.6 Stochastic Volatility Models
Prof. Dr. Jonas Dovern
2020-08-11
IdM-login / Studon
00:04:15