Ekonomisk-historiska institutionen

Ekonomihögskolan vid Lunds universitet

EKHM85 Applied Time Series Analysis, 7,5 credit points 

The course gives an introduction to basic concepts within time series analysis. The univariate analysis of time series in this course is based upon ARMA/ARIMA models. Multivariate time series analysis is based on VAR models. Non-stationary time series are analysed using unit root tests, co-integration methods and VEC models. Students have the choice of specialising in the analysis of volatility models or non-stationary panel data models. Theoretical studies are interwoven with practical applications in financial economics and macroeconomics


Course curriculum

Rules for examination