MAP554LT-ENSAE - Linear Time Series (2022-2023)

The first part of this course is devoted to studying univariate time series: first we present the principal statistical concepts, then estimation methods and tests; we examine the non-stationarity problem by studying the main unit root tests from a practical angle. The course is illustrated with practical examples. The second part of the course is devoted to studying stationary VAR models: we briefly present the general framework of multivariate stationary series before developing the specific case of VAR models. Finally, we take a quick look at the principles of cointegration.