Lecturer | Prof. Dr. J. Grammig |
Profiles | First year Master |
Prerequisites | Bachelor level exposure to Econometrics/Time Series Analysis |
Language | English |
Time and Place | Monday 4-6 p.m. Tuesday 10-12 a.m. E03, Mohlstr. 36 |
Exam | written exam |
Credit Points | 7.5 ECTS 7LP |
Course Ref. No. | S411 |
Literature
Hamilton J.: Time Series Analysis, Princeton University Press, 1994
Practical class
Practical exercises for material covered in lecture "Advanced Time Series".
Dipl. Volkswirtin Franziska Peter
Date: Tuesday, 12.00 - 14.00 p.m., place to be announced
20.10.2009 | Information on the practical class can be found here (pdf) |
Questions for Review
Course material
20.10.2009 | Introductory Slides from the first lecture: (ppt) German-English Dictionary for Statistics and Econometrics (xls) | ||||
21.10.2009 | Assignments for next week: First batch of Questions for Review. Please download the updated version from ILIAS. | ||||
26.10.2009 | Time Table here Slightly modified script available on Ilias | ||||
26.10.2009 | Introductory slides for the first practical class (pdf) Information concerning the assignments (pdf) Gauss Tutorial (pdf) Wage data for the introductory session (txt) Introduction program (prg) | ||||
27.10.2009 | Assignments for next week: Second batch of Questions for Review. Please download the updated version (of today) from ILIAS. | ||||
2.11.2009 | Assignments for the practical class (will be updated each week!) (pdf) | ||||
03.11.2009 | Assignments to work on for next week: Batch 4 in Q4R (not Batch 3! this is not yet covered). I plan to work more on the assignments next Tuesday (whole two hours), so be prepared to be able to answer the questions of this and the previous assignment sheets. | ||||
10.11.2009 | Last week's workfile here (Sorry for delay.) Here is the GAUSS program of todays lecture/exercise (you see, I also commit programming errors). BTW: Very enjoyable (and productive) class today! This is how University should be. (I think). For next week, work on the assignments in batch 3 of Q4R. Next week will be devoted to Maximum Likelihood estimation. The exercise will deal with some important results from ML theory. | ||||
17.11.2009 | Additional information on cml library (pdf) | ||||
25.11.2009 | Next Tuesday's time slot will be devoted to an 'practical class' /exercise format. Discussion will focus on practial applications and the Q4R from batches 4 (on ML) as well as batch 7 (1.-3.) and batch 8 and batch 9 (1. and 2.) (Unit root tests). The batch 7 and 8 and 9 material will be covered in the Monday lecture. Note: For Diploma students the course counts for 7 LP (not 6). I just recognized the error on this page. | ||||
08.12.2009 | Please note that tomorrow's practical class will take place from 2 pm to 4 pm (this is an exception. Next week's class will take place at the usual time!) | ||||
Material for the 6th assignment: data (txt) | |||||
15.12.2009 | Garch data (fmt) | ||||
17.12.2009 | EVIEWS Workfile from Tuesdays Lecture (S&P) with GARCH equation object (wf) | ||||
04.01.2010 | Grades for the first assignments (pdf) | ||||
18.01.2010 | Data for the nineth assignment sheet (txt). Source file for SVAR (src). | ||||
01.02.2010 | Data for the 11th assignment (fmt) | ||||
08.02.2010 | Data for the 12th assignment (txt) and starting values for cml estimation (x1.fmt) and (x2.fmt) | ||||
16.02.2010 | Data for 13th assignment (txt), source files for Gauss VECM estimation: (src), Results and plot : (src) | ||||
18.02.2010 | Grades for the second assignment (pdf) | ||||
01.03.2010 | Updated script is available on Ilias |