CSI 996

Unit Roots and Cointegration

Fall, 2015

Instructor: James Gentle

Reading Course

This course covers various time series models, in particular those with unit root nonstationarity. Both VAR and SVAR models are considered, and error-correction models related to both are developed. The effects of unit root processes are explored and various tests for unit roots are considered and compared. Spurious regressions in cointegration are studied. The Engle-Granger two-step development of an error-correction model is studied, as well as its extension to a structural form

Text

The text for the course is
Pfaff, Bernhard (2008), Analysis of Integrated and Cointegrated Time Series with R, second edition, Springer, New York.

Software

We will use R and various R packages, including primarily urca, but also possibly tseries, fArma, fracdiff, fUnitRoots, and uroot.

Topics and Assignments

Read through the entire text.

Exercises are from Pfaff (2008).