Time Series Models

This summary is the ultimate companion for your Time Series Models course. It gives you a clear and structured overview of all the material covered in the lectures and provides step-by-step explanations of every algorithm you need to know for the exam. With this summary in hand, you’ll save time, study more effectively, and walk into the exam confident and fully prepared.

Summary Multivariate Econometrics for the Master Econometrics and Operational Research at the VU. This summary includes all course content that has been discussed in the lectures and tutorials. The summary contains the following topics: Time Series, Local Level Model, univariate models, parameter estimation, state space analysis, linear gaussian models, non linear non gaussian models, ML, SV model, QML, importance sampling, particle filter, bootstrap filter, kalman filter, kalman smoother, multi...