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About WQU - Econometrics - Compiled Content - Module5 PDF
This document outlines the content for Module 5 of an econometrics course on multivariate time series analysis. It includes notes on vector autoregressive (VAR) models, cointegration/vector error correction (VECM) models, principal component analysis, and multivariate GARCH analysis. The module aims to extend univariate time series concepts to model relationships between multiple time series simultaneously, while addressing the "curse of dimensionality" that arises when including a large number of series.
Detailed Information
| Author: | ['vikrant'] |
|---|---|
| Publication Year: | 2020 |
| Pages: | 46 |
| Language: | English |
| Format: | |
| Price: | FREE |
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