The topic of the 18th Advanced Summer School is “Macroeconomic and Financial Time Series Modeling: Inference and Bootstrap Methods” and the guest lecturer is Prof Giuseppe Cavaliere, Professor of Econometrics, University of Bologna and Distinguished Research Professor of Economics, University of Exeter Business School.
The topics covered will include:
- Introduction to the bootstrap.
- Models for stationary time series and the bootstrap for stationary autoregressive models.
- Non-stationarity in time series models: unit roots and cointegration, bootstrapping non-stationarity time series models.
- Models for volatility and conditional variances and the bootstrap.
- Non-standard applications of the bootstrap.