Stationarity, autoregressive time series models, moving average models, ARMA and ARIMA models
The ARCH (1) and ARCH (q) models, the GARCH (p, q) model, EGARCH model estimation of ARCH and GARCH models
VAR Models and Causality Tests
Unit roots and spurious regression, testing for unit roots, unit root tests on various macroeconomic variables, the VAR model, Ganger and Sims causality tests, panel data unit root tests and VAR models
Cointegration and Error Correction Models
General approach of cointegration, the error-correction model, Engle-Granger and Johansen cointegration approaches, panel data cointegration, causality, error correction model and computer examples
Asterious, Dimitrios, and Stephen G. Hall. 2011. Applied Econometrics. 2nd Palgrave Macmillan.
Enders, Walter. 2009. Applied Econometric Times Series. 3rd New York: Wiley.