DGPE PhD course: Nonlinear Time Series Econometrics

Lecturer: Professor Timo Teräsvirta

2014.01.03 | Solveig Nygaard Sørensen

Date Mon 03 Feb Wed 05 Feb
Time 09:00    15:45
Location Fuglesangs Allé 4, 8210 Aarhus V, building 2610, room S515 B

The course is an introduction to nonlinear time series models with economic applications. A number of nonlinear models, both single-equation and multivariate ones, are presented. Ways of testing linearity against specific types of nonlinearity (important in modelling) are presented. Modelling, which includes specification, estimation and evaluation, with smooth transition regression models is discussed in detail. Forecasting with nonlinear models is considered. Recent developments in nonlinear vector autoregressive models will be presented. The focus will be on vector smooth transition regression models. Modelling in practice is demonstrated by empirical examples. Students who want to bring and analyse their own data should contact Yukai Yang in advance to arrange the practicalities.


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The course is free of charge for DGPE members from AU, KU, CBS, SDU, and Nordic universities. The course fee is EUR 300 for other participants.


Lecturer: Professor Timo Teräsvirta
CREATES, Department of Economics and Business
Aarhus University
Fuglesangs Allé 4, 8210 Aarhus V, Denmark
Phone (+45) 871 5563
Email: tterasvirta@creates.au.dk

Administrative support: Solveig Nygaard Sørensen, sns@creates.au.dk

DGPE Courses