Module Directory

 

Module Description

 
 
Module Name
Module Code
Lecture Hrs
Practical Hrs
Credits
Times Series Econometrics
ECON3002Y(5)
3
0
6

Description
Stationary Time-Series: Univariate (ARMAX) and Multivariate (VAR); Box-Jenkins Approach; Autocorrelation Function; Impulse Response; Econometric Forecasting; Forecast Evaluation; Forecast Combination. Non-stationary Time Series: Univariate (ARIMAX) and Multivariate (VECM); Unit root tests; Integration; Cointegration and Error-Correction; Granger Causality; Weak Exogeneity Conditional Volatility Models: ARCH, GARCH; Introduction to Regime-switching Models: TAR, SETAR
Faculty Department
FACULTY OF SOCIAL SCIENCES AND HUMANITIES Department of Economics and Statistics
Contact Details
Administrative assistant: DILMAHOMED BOCUS Bibi Swaleha
Telephone: 4037400
Email: s.dilmahomed@uom.ac.mu
 

 

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