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OAEA 2110 - Advanced Econometrics: Time Series

Type d'enseignement : Seminar

Semester : Spring 2017-2018

Number of hours : 24

Language of tuition : English


Good initial knowledge in probability theory and statistics (expectation, variance, covariance, vectors and matrices, tests). Good initial knowledge on econometrics: OLS estimation, inference and tests (Student and Fisher tests), confidence intervals. Students should be aware that this is an Advanced course for those who have mastered the basics and are comfortable with the software.

Course Description

The general objectives of this course are as follows: 1. to introduce students to the main time series econometric methods used in the analysis of issues related to economics and finance, in order to equip them with the knowledge required for performing quantitative analyses. 2. Strengthen students with the use of general econometric software in empirical research using Eviews.


RAULT, Christophe (Full Professor of Econometrics)

Course validation

A comprehensive final examination with short questions, exercises. A mark for student participation.

Required reading

  • C. Brooks (2008), Introductory Econometrics for Finance, Cambridge University Press, Fourth Edition
  • B. Bhaskara Rao (2007), Cointegration for the Applied Economist, Second edition. Palgrave MacMillan, New York