Tutorial: Analysis of Integrated and Co-integrated Time Series

Description

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.

Goals

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.

Outline

• Characteristics of time series.
• Unit-root tests.
• Univariate modeling of time series.
• Co-integration analysis.
• Modeling of heteroscedasticity.

Justification

• 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.

Background knowledge

• 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.

Potential attendees

• Senior Undergraduate and Graduate students.
• Practitioners with a background in Finance and economics.