Time Series & Econometrics

ARIMA, VAR, cointegration, GARCH, structural breaks, panel data.
TUTORIALS

Time Series & Econometrics

ARIMA, VAR, cointegration, GARCH, structural breaks, panel data.

Cointegration analysis of strategic long-run relationships

time-series-econometrics
cointegration
vecm
strategic-equilibrium

Test for cointegration between strategic variables such as rival firm prices and competing military budgets using Engle-Granger and Johansen methods, and estimate vector error correction models for strategic adjustment dynamics.

May 8, 2026

Granger causality in strategic interaction data

time-series-econometrics
granger-causality
cournot
stackelberg

Apply Granger causality tests to detect strategic interdependence in time-series data, distinguishing simultaneous Cournot play from sequential Stackelberg leadership in simulated oligopoly settings.

May 8, 2026

Modelling strategic interaction with VAR models

time-series-econometrics
var
granger-causality

Use vector autoregression to detect and model strategic interaction in time series data, with arms race dynamics as the motivating example. Granger causality tests reveal whether one actor’s past behaviour predicts another’s future choices, formalising the notion of strategic influence.

May 8, 2026

Structural Estimation of Oligopoly Conduct Parameters

time-series-econometrics
structural-estimation
oligopoly

Estimate the Bresnahan-Lau conjectural variations parameter from simulated Cournot oligopoly data using 2SLS/IV estimation, and compare conduct regimes from perfect competition to full collusion.

May 8, 2026

VAR Models for Strategic Interaction Dynamics

time-series-econometrics
var
granger-causality
oligopoly

Vector autoregression models capture dynamic strategic interdependence in oligopoly markets, revealing how firms’ quantities today depend on rivals’ past decisions through impulse response functions and Granger causality tests.

May 8, 2026
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