Time Series and Forecasting

Course Code: 
Elective Courses



Course Description

This course makes an introduction to time series analysis and forecasting techniques for economists, and to the dynamic econometric modeling. It considers stationary and non-stationary dynamic models, as well as dynamic systems of equations. The course covers topics on estimation and specification of different time series models, like the AR(p), MA(q) and ARMA(p,q) and ARIMA(p,q) models. It analyses their statistical properties and evaluates their predictive ability. It also corrects these models for seasonality and possible structural breaks. In its second part, the course presents tests of unit roots and cointegration, and multivariate dynamic systems of equations like the VECM and VAR models. For students’ practice, the course provides tutorials for exercise solving and applications of dynamic econometric models to the Greek economy and financial markets based on an econometric package