PH.D. STUDENTS MINI COURSES WORKSHOPS     AND SEMINARS STUDIES     IN ENGLISH ןועידי םימדוק םינועידי תועש תכרעמ םיסרוקל םושיר תועדומ חול םינחבמ חול תוקורס הניחב תורבחמ תוריכזמ- הלבק תועש    םילגרתמו םירומ ,םיצעוי םיספט VIDEO-ב םיסרוק Virtual T@U MyTAU

MINI COURSES       Raffaella Giacomini Department of Economics, University College London   Contact Information   Teaching Schedule tel:  +972-3-640-7194  fax: +972-3-640-9908  email: r.giacomini@ucl.ac.uk  URL: http://www.homepages.ucl.ac.uk/~uctprgi/ room number: 210 visiting days: April  14th,  2012 -April  23rd,  2012     Course Title:  Time Series Econometrics  Course ID:  1011436601  1: Sun 15.4.12  11:00-14:00 r.101 2: Mon 16.4.12  13:00-16:00 r.101 3: Sun 22.4.12  11:00-14:00 r.101 4: Mon 23.4.12  13:00-16:00 r.101 The goal of this course is to provide students with an understanding and working knowledge of statistical techniques for the empirical analysis and forecasting of time series in macroeconomics and, to a lesser extent, finance. Although the focus of the course is primarily applied, I will also place some emphasis on the theoretical foundations of the techniques analyzed. A rough outline is: 1. Univariate Time Series: ARMA models, Tests for structural breaks, Nonlinear models of the conditional mean; ARCH/GARCH. 2. Multivariate Time Series: VAR; Structural VAR; Impulse-response analysis; Granger causality; Cointegration. 3. Elements of forecasting.