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Disciplina eletiva do programa de Pós-Graduação em Economia e Desenvolvimento Econômico do Instituto de Economia da Unicamp.

Doutorado/Mestrado

Ementa:

Fundamentos estatísticos: processos estocásticos, autocovariância e autocorrelação, estacionariedade e ruído brando. Processos estocásticos estacionários: processos autoregressivos e processos média móvel. Processos estocásticos não-estacionários. Testes de raízes unitárias.

Bibliografia:

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• Blanchard, O. Quah, D. (1989). The dynamic effects of aggregate demand and aggregate supply disturbances. American Economic Review, 79: 655-673.
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• Bollerslev, T., Engle, R.F. & Nelson, D.B. (1993) ARCH Models. The Handbook of Econometrics, vol.4.
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• Box, G.E., Jenkins, G. M. & Reinsel, G. C. (1994). Time series analysis: forecasting and control. Prentice Hall.
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• Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of the United Kingdom inflation. Econometrica 50(4): 987-1007.
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• Harvey. A. C. (1989). Forecasting, structural time series and the Kalman filter. Cambridge University Press.
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• Harvey. A. C., Ruiz, E. & Shephard, N. (1994). Multivariate stochastic variance models. Review of Economic Studies 61: 247-264.
• Hatanaka, M. (1996). Time series based econometrics: unit roots and cointegration. Oxford University Press, Oxford.
• Hendry, D. F. (1995). Dynamic Econometrics, Oxford University Press.
• Hoffmann, R. Análise de Regressão: Uma Introdução à Econometria ,4ª Edição. Hucitec, 2006.
• Hylleberg, S., Engle, R. F., Granger, C. W. G. & Yoo, B. S. (1990). Seasonal integration and cointegration. Journal of Econometrics 44: 215-238.
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• Johansen, S. (1992). Cointegration in partial systems and the efficiency of single-equation analysis. Jornal of Econometrics 52 (3): 389-402.
• Johansen, S. (1995). Likelihood based inference in cointegrated vector auto-regressive models. Oxford University Press, Oxford.
• Kwiatkowski, D., Phillips, P. C. B., Schmidt, P. & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of unit root, Journal of Econometrics, 54:159-178.
• Lütkepohl, H. (2006). New introduction to multiple time series analysis. Springer-Verlag, Berlin.
• Maddala, G. S. & Kim, I. M. (1998). Unit roots, cointegration, an