1 Introduction

1.1 Topics to cover

• Introduction to time series
• Time series environment in R
• Univariate time series
  • Stationary models
  • Stationarity
  • ACF
  • General ARMA process
  • Formulating ARMA process
  • Invertibility of lag polynomials
  • Common roots
  • Stationarity and unit roots
  • Testing for unit roots
  • Estimation of ARMA models
  • Choosing a model
  • Predicting with ARMA model
  • ARCH Models

1.2 Multivariate time series models

• Dynamic models with stationary variables
• Models with nonstationary variables
  • Spurious regressions
  • Cointegration
  • Cointegration and ECM
• Vector autoregressive models
• Cointegration: the multivariate case - Cointegration in VAR - Testing for cointegration