Time series and panel data econometrics

The first-half of this subject covers both univariate and multivariate time series models, including vector autoregressive models, which are relevant to the analysis of time series data in business and economics. The main focus includes: (i) estimation for stationary time series models; (ii) estimation and inference for nonstationary time series models; (iii) introduction of some commonly used nonlinear time series, such as threshold and other types of nonlinear and nonstationary models; and (iv) introduction of vector autoregressive models. The second half introduces some panel data models with a particular attention on: (i) linear fixed- and random-effects models; (ii) linear dynamic panel data models; (iii) panel data models associated with cross-sectional dependence; and (iv) nonlinear and nonstationary panel data models. If time permits, further issues such as unit-root testing for nonstationary panel data models will be covered.