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Module Title: 
Macroeconometrics
Module Code: 
DSE6333

Module Content

Univariate Time Series Models (Basic Concepts in Time Series Analysis). Approximating the Wold

Representation.Data Transformations.Parametric Analysis of Time Series: Estimating AR, MA, and

ARMA Processes.Nonparametric Analysis of Time Series.Unobserved Components Models.

Measuring Volatility (ARCH, GARCH, ARCH-in-Models, Other Models of Conditional

Heteroskedasticity).Measuring Risk.)

- Unit Roots, Spurious Regressions and Cointegration(Testing the Unit Root Hypothesis. Robust Inference in the Presence of Possible Autoregressive Unit Roots.The Quantitative Importance of Unit Roots.Unit Root Regressions.Cointegration).

-Multivariate Time Series Models (Nonparametric Methods for Multivariate Time Series. Reduced-Form Vector Autoregressions.AR and VAR Lag Order Selection.Structural VAR Models: Lessons from the Money-Income Causality Debate.)

-Other Forecasting Methods(Forecasting a Scalar Time Series. Forecasting a Scalar Time Series with Large Cross-Sections.Predictability Tests.Pseudo Out-of-Sample Tests of Equal Predictive Accuracy.Tests of Forecast Encompassing.In-Sample versus Pseudo Out-of-Sample Tests of Predictability.Testing Forecastability.Direction-of-Change Tests. Data minining (What is data mining. Cures for data mining)).

-Bootstrapping(Bootstrapping Stationary Time Series Models)

-Nonrecursive Structural VAR Models(Identification. Structural VAR Critiques.Selected Alternative Structural VAR Approaches)

-Nonlinear Time Series Models

-Large data sets: Dynamic Factor Models, FAVAR, Combinations, Bayesian Model Averaging, BVARs(Motivation and application. Econometric Method).

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African Center of Excellence in Data Science(ACE-DS)

Head Office:UR College of Business & Economics

E-mail:   aceds@ur.ac.rw

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