Course: STAT 33700=BUSF 41914
Title: Multivariate Time Series Analysis
Instructor(s): Ruey-Shiong Tsay
Class Schedule: Sec 50:F 8:30 AM–11:20 AM in TBA
Description: This course investigates the dynamic relationships between variables. It starts with linear relationships between two variables, including distributed-lag models and detection of unidirectional dependence (Granger causality). Nonlinear and time-varying relationships are also discussed. Dynamic models discussed include vector autoregressive models, vector autoregressive moving-average models, multivariate regression models with time series errors, co-integration and error-correction models, state-space models, dynamic factor models, and multivariate volatility models such as BEKK, Dynamic conditional correlation, and copula-based models. The course also addresses impulse response function, structural specification, co-integration tests, least squares estimates, maximum likelihood estimates, principal component analysis, asymptotic principal component analysis, principal volatility components, recursive estimation, and Markov Chain Monte Carlo estimation. Empirical data analysis is an integral part of the course. Students are expected to analyze many real data sets. The main software used in the course is the MTS package in R, but students may use their own software if preferred.