This course deals with uni- and multivariate time series analysis from an applied perspective. After briefly refreshing the knowledge about univariate time series models (ARMA) we will continue with the analysis of the multivariate case (VARs) and its extensions to incorporate structural characteristics (SVAR). After discussing the estimation routines, we will tackle the problem of identifying the nature of the structural shocks (short- vs. long-run restrictions and sign restrictions) to derive some recommendations for policymakers based on impulse response functions. Moreover, this course provides a brief introduction to the Bayesian paradigm in econometrics and its advantages compared to the frequentist approach.

The course will be helpful for students interested in working at research institutions or financial institutions. Rather than focus narrowly on the application of econometric tools in macroeconomics, we will try to convey a deeper understanding of the most important tools used in applied time series analysis, their proper use and their limitations, illustrated by applications to questions considered in macroeconomics. The discussed methods are used heavily in Central Banks and policy institutions and will be covered with a special emphasis on their applications and interpretations. Finally, the students will be enabled to conduct own small research projects applying time series analysis.

Attendance is mandatory (however, three missed units are tolerated)

This lecture consists of two main blocks. While in the first block we are discussing the topics mentioned in the syllabus (slides, literature, and papers will be provided), the second block is dedicated to students' presentations of famous examples in the VAR literature.  The group presentation (max. 5 students) is dedicated to a famous example in the VAR literature. It is expected that the group scrutinizes the paper in depth (objective, relevant assumptions, model framework, and results) and provide (a) a detailed discussion as well as (b) comments/questions/suggestions to the authors.

Moreover, students carry out a group (max. 5 students) research project by applying the discussed tools and models to a macroeconomic question of choice. The paper should be structured and written according to the guidelines of Economics Letters and should not exceed about 10 pages in length (including a separate title page with an abstract summarizing the paper; a complete list of references; a list of data sources). The paper should be explicit enough for a fellow student to be able to replicate all results (therefore, data sources must be documented and modelling choices should be defended). You should clearly explain what the research question is, why the question is interesting, and what you have learned. For the paper you need to conduct an estimation by yourself (the choice of software is up to you). Papers should be written in a professional format and will be marked down if they do not satisfy this criterion. The final paper that is due at the end of the semester (01. July 2019). The final paper has to be uploaded at the learn@wu assignment tool.

Please make sure that you read the assigned literature PRIOR to the lecture.

Final Exam (50Points), Paper presentation (15Points), Exercises (15Points) and Research Paper (20Points).

A positive final test (50% threshold of total exam points) is required for passing the course.

Grading Key: <60Points: fail; >61Points: sufficient; >71Points: satisfactory; >81points: good; >91Points: very good.

Students should have a sound knowledge of statistics (probability, random variables, expectations, joint/conditional distributions), mathematics (linear algebra, differential/integral calculus, algebra) and basic econometrics (OLS/ML estimation).