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Week - 1 |
Stochastic Processes, Realization and Time Series |
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Week - 2 |
The Properties of Stochastic processes and Stationarity |
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Week - 3 |
Strong and Weakly Stationarity |
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Week - 4 |
Stationary Processes: Gauss, Markov, White Noise Processes |
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Week - 5 |
Non-Stationary Processes: Pure Random Walk, Random Walk with Drift and Random Walk with Drift and Trend |
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Week - 6 |
Difference-Stationary, Trend-Stationary Processes and Integrated Processes |
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Week - 7 |
Autocovariance and Autocorrelation Functions and their Properties |
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Week - 8 |
Box-Pierce and Ljung Box Tests |
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Week - 9 |
Lag and Difference Operators |
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Week - 10 |
Unit Root Tests: DF, ADF, Phillips-Perron Tests |
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Week - 11 |
N-G Perron, KPSS GLS, Sequential and ERS optimal Unit Root Tests |
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Week - 12 |
Multivariate Time Series and Vector Autoregressive Models (VAR) |
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Week - 13 |
Cointegration Tests: Engle-Granger and Johansen Tests |
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Week - 14 |
Applications with E-views |
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