Summary

The purpose of this course is to introduce the students to the basics of contemporary time series analysis. The approach of the course is mostly applied, although the theoretical fundamentals will also be part of the teaching material and the classes. The students are expected to learn the main tools currently used by practitioners in Macroeconomics, as well as to interpret the results of research articles as they are published in scientific journals. The course starts with a revision of the univariate analysis of stationary data, followed by the main concepts of non-stationary data and the most frequently applied tests for the determination of the order of integration of the variables. The third lesson will start with the definition of cointegration and single equation methods for testing and estimation. Finally, the last lesson will be devoted to the multivariate analysis of time series with VAR models. In the laboratory sessions, the students will use econometrics software to apply to real data the concepts and methods already studied in class. We will choose mostly open-source software in our sessions, such as R and GRETL, although we cannot discard using other programs if they are more suitable for a particular topic or test.