Econometria Avanzata

Time series models in finance use robust estimation methods to handle outliers and breaks. Outliers affect estimators differently; the median is more robust than the mean (LS estimator). Breaks are abrupt changes in parameters, like the oil crisis or stock market crash. Recursive and rolling window estimation detect these issues. VAR models generalize AR models for multiple variables, using lag operators. ECM represents error-correction mechanisms adjusting disequilibrium. Integrated series have unit roots; co-integration exists when I(1) series move together stably despite being individually non-stationary. Spurious regressions occur if integration o