Описание:This course introduces graduate students to a set of econo-
metrics models used in macroeconomic time series modelling, financial economics
and monetary economics. It starts by briefly reviewing large sample theory, and
then move to single-equation and multi-equation Generalized Method of Mo-
ments (GMM). The second part of the course is devoted to Vector Error Correc-
tion (VEC) models and nonlinear VEC models, while the third part to unit root
tests with structural breaks, panel unit root tests and panel cointegration tests.
Applied aspect of macroeconometric modelling is emphasized in the course.