Applied Time Series and Panel Data Analysis

Course content

This course will cover the following materials in two parts, with an applied emphasis in finance and accounting. TIME SERIES: Data handling, Univariate time series, VARs and VECMs, Structural VAR modeling and Impulse Response Analysis, forecast error variance decomposition, Conditional Heteroscedasticity; PANEL DATA: One-way error component: fixed effects, random effects, Two-way error component: fixed effects, random effects, SUR, Nonstationary Panels: panel unit root, panel co-integration, estimation and inference in integrated panels. A statistical software package will be extensively used- i.e. Eviews, Microfit, RATS & CATS