Urbain , Jean Pierre Full Professor of Time Series Econometrics Phone: +31 (0)43 388 36 60 Email:  j.urbain@Maastrichtuniversity.nl

“A huge amount of time series and panel data has become available in economics and business administration. This created a need for new and improved techniques for studying the dynamics in the behaviour of companies, markets, sectors, countries, etc. Whereas in the past one professor of econometrics was enough, today several professors study various techniques, models and tools. My research focuses on time series econometrics, i.e. statistical techniques for studying economic problems or variables over time. Time series are traditionally much used in macroeconomics and financial economics, but nowadays in other disciplines of economics as well. The behaviour of economic series, such as gross national incomes, exchange rates or prices, has several separate aspects such as long-term movements (trends), short-term movements and seasonal effects. Time series econometrics enables us to identify, model and predict the different components in a statistically sound way. We primarily investigate the behaviour of countries and regions more than that of individuals and families. We compare, for example, the growth rate of incomes in Belgium, the Netherlands and other countries. On the basis of these data series and their characteristics, we can construct models, compute estimates and ultimately make predictions for the future. In this context, I analyse primarily non-stationary time series. A time series is stationary if its characteristics (such as means, variances and co-variances) do not depend on the time of the measurement. Most economic data are nonstationary and display substantial trending behaviour through time. I therefore develop and analyse models capturing these trends but also business cycles. I study, for example, the extent to which economic series for different countries show common patterns and components. These models can then be used to produce forecasts for the future. This field is also called dynamic econometrics. Time series econometrics in particular has become a particularly important field by providing necessary information for many decision makers in economics and business administration. Not surprisingly two famous time series econometrists recently won the Nobel Prize in Economics.”