Multivariate Econometrics

Vrije Universiteit Amsterdam (VU)

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Summary - Multivariate Econometrics (MSc Econometrics and Operations Research)
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December 2024

2024/2025
Summary Multivariate Econometrics of the Master Econometrics and Operational Research at de VU. This summary includes all course content that has been discussed in the lectures and tutorials. The summary contains the following topics: dynamic regression theory, VAR processes, stationarity, ergodicity, lag operators, martingale differences, autoregression, unit roots, stationarity, cointegration, VECM, random walk, spurious regressions, Johansens analysis, panel data models, cross sectional depen...
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