Time Series Analysis

  1. Multivariate Time Series
    1. Vector Autoregression
      1. VAR Model Structure
        1. Lag Order Selection
          1. Parameter Estimation
            1. Impulse Response Functions
              1. Forecast Error Variance Decomposition
              2. Granger Causality
                1. Definition and Testing
                  1. Interpretation
                    1. Limitations
                    2. Cointegration
                      1. Definition and Concepts
                        1. Engle-Granger Method
                          1. Johansen Method
                            1. Error Correction Models
                            2. Vector Error Correction Models
                              1. VECM Structure
                                1. Estimation Methods
                                  1. Forecasting with VECM
                                  2. Structural VAR Models
                                    1. Identification Restrictions
                                      1. Recursive Models
                                        1. Long-Run Restrictions
                                        2. Factor Models
                                          1. Dynamic Factor Models
                                            1. Principal Component Analysis
                                              1. Factor-Augmented VAR

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                                            10. Volatility Modeling

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                                            12. State Space Models and Kalman Filtering