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.



Background knowledge

Potential attendees