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Introduction to Time Series Analysis

Directorate-General for Economic and Financial Affairs (DG ECFIN)

November 2021

 

 

 

 

 

 

 

Main reference:

Other useful references:

And even more additional references:

 

 

 

Block 1: Univariate Stationary Processes

 

 

STATA materials

Readings

  • Readings handout 1: Cochrane, Sections 2, 3.1, 3.2., 3.3 and 4 

     

 

 

 

 

 

 

Block 2: Multivariate Stationary Processes

 

 

 

 

 

STATA materials

Recommended Readings

  • Hamilton, chapter 11

 

 

 

Block 3: Univariate Non-Stationary Processes

 

 

 

 

STATA materials

unit_roots.do: Running unit roots tests with STATA

Other interesting Stuff

  • Examples of Spurious regressions

  • On Brownian motion:

  1. A bit of history

  2. Brownian motion and finance

  3. Einstein's explanation of Brownian Motion

 

 

 

 

Block 4: Multivariate Non-Stationary Processes

 

 

 

 

STATA materials

Recommended Readings: