Introduction to Time Series Analysis
Explore foundational concepts of time series econometrics and popular time series models.
'%3e%3cpath%20d='M9.5%200.414062C4.52944%200.414062%200.5%204.4435%200.5%209.41406C0.5%2014.3846%204.52944%2018.4141%209.5%2018.4141C14.4706%2018.4141%2018.5%2014.3846%2018.5%209.41406C18.5%204.4435%2014.4706%200.414062%209.5%200.414062ZM9.5%2017.1283C5.23952%2017.1283%201.78571%2013.6745%201.78571%209.41406C1.78571%205.15358%205.23952%201.69978%209.5%201.69978C13.7605%201.69978%2017.2143%205.15358%2017.2143%209.41406C17.2143%2013.6745%2013.7605%2017.1283%209.5%2017.1283Z'%20fill='%2300859B'/%3e%3cpath%20d='M9.68398%206.10774C10.1904%206.10774%2010.6024%205.69575%2010.6024%205.18935C10.6024%204.68295%2010.1904%204.271%209.68398%204.271C9.17758%204.271%208.76562%204.68299%208.76562%205.18935C8.76562%205.69572%209.17761%206.10774%209.68398%206.10774Z'%20fill='%2300859B'/%3e%3cpath%20d='M11.6967%2012.6017L10.5029%2012.6006L10.5031%207.69636L10.5022%207.66067C10.4836%207.31803%2010.2%207.0459%209.85283%207.0459H8.36644L8.33076%207.04686C7.9882%207.06539%207.71614%207.34909%207.71614%207.69635L7.7171%207.73204C7.73562%208.07468%208.01926%208.34681%208.36644%208.34681L9.20235%208.34668V12.5995L7.9789%2012.6006C7.63579%2012.6191%207.36328%2012.9032%207.36328%2013.251C7.36328%2013.6107%207.6549%2013.9023%208.01464%2013.9023L11.6967%2013.9014C12.5102%2013.862%2012.5102%2012.641%2011.6967%2012.6017Z'%20fill='%2300859B'/%3e%3c/g%3e%3cdefs%3e%3cclipPath%20id='clip0_4486_4677'%3e%3crect%20width='18'%20height='18'%20fill='white'%20transform='translate(0.5%200.414062)'/%3e%3c/clipPath%3e%3c/defs%3e%3c/svg%3e){kind=small}
'%3e%3cpath%20opacity='0.9'%20d='M9.96879%206.49998C9.96764%206.63235%209.91511%206.7591%209.82229%206.85348L4.82229%2011.8535C4.72799%2011.9446%204.60169%2011.995%204.47059%2011.9938C4.33949%2011.9927%204.21409%2011.9401%204.12138%2011.8474C4.02868%2011.7547%203.97609%2011.6293%203.97495%2011.4982C3.97381%2011.3671%204.02421%2011.2408%204.11529%2011.1465L8.76179%206.49998L4.11529%201.85348C4.06754%201.80736%204.02944%201.75218%204.00324%201.69118C3.97704%201.63018%203.96324%201.56457%203.96267%201.49818C3.96209%201.43179%203.97474%201.36595%203.99988%201.3045C4.02502%201.24306%204.06215%201.18723%204.10909%201.14028C4.15604%201.09334%204.21187%201.05621%204.27331%201.03107C4.33476%201.00593%204.4006%200.993278%204.46699%200.993855C4.53338%200.994432%204.59899%201.00823%204.65999%201.03443C4.72099%201.06063%204.77617%201.09872%204.82229%201.14648L9.82229%206.14648C9.91511%206.24086%209.96764%206.36761%209.96879%206.49998Z'%20fill='black'/%3e%3c/g%3e%3cdefs%3e%3cclipPath%20id='clip0_4500_3924'%3e%3crect%20width='12'%20height='12'%20fill='white'%20transform='translate(0.96875%2012.5)%20rotate(-90)'/%3e%3c/clipPath%3e%3c/defs%3e%3c/svg%3e){kind=small}
Course Overview
The course is an introduction to time series analysis. The goal of the course is to provide students with the foundational concepts of time series econometrics and the knowledge of some popular time series models. The course, open to anyone, can be especially useful to participants of the subsequent courses of the Barcelona Macroeconometrics Summer School who want to acquire the necessary knowledge or strengthen their skills in this field, before starting the more specialized courses.
The course includes 10 hours of theory lectures and 7.5 hours of practical sessions.
Faculty
Do you want to learn the basics of Time Series Analysis or need a refresher of your knowledge?
This course is designed for:
- Anyone interested in Time Series Analysis
- BSE Macroeconometrics Summer School participants who need to review key concepts
Delve into core principles of time series econometrics and widely used models for time series analysis
Upon completion of this course, you will:
- Understand the fundamental concepts of Autoregressive (AR) and Moving Average (MA) models
- Develop the ability to estimate AR and MA models using likelihood-based methods
- Gain proficiency in applying and estimating Vector Autoregressive (VAR) and Vector Moving Average (VMA) models for multivariate time series analysis
- Explore the properties and estimation techniques of the likelihood function in both AR/MA and VAR models
- Acquire foundational knowledge in Bayesian econometrics methods and how they apply to model estimation and inference
Program Syllabus for Introduction to Time Series Analysis course
Here is a brief outline of what is covered during the course.
Course Outline
- Preliminary Concepts
- Autoregressive (AR) and Moving Average (MA) models
- Likelihood function and the estimation of AR and MA models
- Introduction to Vector Autoregressive (VAR) and Vector Moving Average (VMA) models
- Likelihood function and the estimation of VAR models
- Bayesian econometric preliminaries
Software / Hardware
- MATLAB will be used during the course. Participants will receive a free, time-limited MATLAB license before the program starts. Please install MATLAB on your computer before the course begins for use in practical sessions
- Participants must bring their own laptop to participate in the practical sessions
Why join our Summer School?
All BSE Summer courses are taught to the same high standard as our Master’s programs. Join us to:
Network with like-minded peers
Study in vibrant Barcelona
Learn from world-renowned faculty
Admissions and Requirements
Participants must check they are eligible to take the course before applying.
Requirements
Summer School applicants normally demonstrate one or more of the following:
- A strong background in Economics or a field closely related to the course topic (Statistics, Law, etc.)
- Postgraduate degree or current Master’s/PhD studies related to the course topic
- Relevant professional experience
Schedule
Here is your schedule for this edition of BSE Macroeconometrics Summer School Introduction to Time Series course.
The times listed are Central European Time (CET). Compare with your time zone on time.is
Instructors, topics, and schedules are subject to change.
Credit Transfers (ECTS)
To be eligible for credit transfer, students must complete a final project.
Students will deliver a short final project one week after the summer school finishes. It will consist of solving a final problem that will include the practical and empirical issues worked on in class.
Consult the Summer School Admissions page for more information about this option.
Certificate of Attendance
Participants who attend more than 80% of the course will receive a Certificate of Attendance free of charge.
Fees
Multiple course discounts are available; see more information about available discounts. Fees for courses in other Summer School programs may vary.
* Reduced Fee applies for PhD or Master’s students, Alumni of BSE Master’s programs, and participants who are unemployed.
FAQ
Here are some commonly asked questions by participants. Any further queries, please contact our Admissions Team.
Are the sessions recorded?
Sessions are NOT recorded; however, the materials that the professors provide will be available for a month after the course has finished.
How much does each Summer School course cost?
Fees for each course may vary. Please consult each course page for accurate information.
Are there any discounts available?
Yes, BSE offers a variety of discounts on its Summer School courses. See more information about available discounts or request a personalized discount quote by email.
Can I take more than one course?
Yes! you can combine any of the Summer School courses (schedule permitting). See the full course calendar.
Related Courses
Bayesian Estimation of RANK and HANK Business Cycle Models
Time Series Models for Macroeconomic Analysis I
Economics. All rights reserved.
