The Econometrics II course examines the models and statistical techniques used to study time series data in economics. A central message is that theoretical time series analysis is useful because it helps us understand patterns in actual economic data, as well as dynamic causal relationships. The course has two speciffc objectives. The ffrst is to equip students with the tools necessary for state-of-the-art empirical research with economic time series data. This is designed for those students who are likely to use time series data in their Ph.D. theses (macro-economics, ffnance, marketing, accounting,...etc). The second objective is to lay out the econometric theory of time series analysis, with an emphasis on recent developments during the past 10-20 years.

教师简介

Jun Yi Peng Zhou高等经济研究院助理教授。2019年于西班牙马德里卡洛斯三世大学获得经济学博士学位。Jun Yi Peng Zhou博士的研究兴趣包括计量经济学理论、时间序列建模以及金融学。他目前采用两种方法研究具有单位根的阈值模型，一种是由随机单位根模型构成的单变量方法，其中单位根的随机性由其他经济变量驱动，另一种方法是从多变量的角度出发，在协整关系中引入阈值效应并允许存在多重均衡。主讲课程为高级计量经济学Ⅱ和计量经济学前沿讨论。

Syllabus.pdf