Tutorial: Analysis of Integrated and Co-integrated Time Series
Bernhard Pfaff, Invesco Asset Management Deutschland GmbH, Frankfurt am Main, Germany.
The tutorial will cover time series analysis in an univariate and multivariate
context with an emphasis on integration and co-integration analysis, though
other time series methods will be touched briefly.
The attendant should be eligible to conduct inference about the data generating
processes of observed time series and apply the appropriate methods for modeling.
He should have gained an up-to-date overview of the capabilities offered by R.
- Characteristics of time series.
- Unit-root tests.
- Univariate modeling of time series.
- Co-integration analysis.
- Modeling of heteroscedasticity.
- During the recent past many methods encountered in time series analysis have been provided as packages on CRAN.
Therefore, an overview
of the capabilities might foster the use of R among econometricians and
quantitative analysts in the financial sector.
- Time series analysis in general and integration and co-integration
analysis in particular should be in the method's rucksack of every ambitioned quantitative analyst.
- Knowledge of R on the level of the Introduction to R.
- Senior Undergraduate knowledge of statistics and / or econometrics.
- Interest in economics and/or Finance.
- Senior Undergraduate and Graduate students.
- Practitioners with a background in Finance and economics.