| Lecturer | Prof. Dr. J. Grammig |
| Aptitude | undergraduate Mathematics I and II and Statistics I and II |
| Language | English |
| Time and Place | Wednesday, 08:30 - 10.00 a.m. Wednesday, 12.15 - 13.00 p.m. Übungsraum E 03, Mohlstr. 36 |
| Exam | 120 Minutes (oral exam possilble) |
| Credit Points | 7 |
| Content | 1. Univariate Time Series Models 2. Vector Autoregressions 3. Equilibrium Correction Models |
| Literature | Hamilton J.(1994): Time Series Analysis, Princeton University Press. |
Practical class (Dipl.-Vw. Kerstin Kehrle)
Practical class is given in English. If needed the first hour of the exercise will be used as lecture time. Practical applications using EVIEWS Software and analytical exercises.
Date: Wednesday, 13:15 - 14:00 p.m., PC-Labor, Nauklerstr., respectively E 03, Mohlstr. 36
Course material
| 26.04.06 | Slides lecture (pdf) Course time table GAUSS programm |
| 28.04.06 | Assignment to be prepared for next week: Easy pieces in statistics (pdf) English-German Dictionary for time series analysis class (.xls) |
| 03.05.06 | Assignment: Introduction to EViews (pdf);(.xls) |
| 04.05.06 | Confirmation: The 10th May exercise takes place in the PC-Lab, Nauklerstrasse 47. Remember to renew/apply for a PC student account! There are two dates which cover exactly the SAME assignment sheet: first from 12-14 p.m., second from 18-20 p.m. |
| 12.05.06 | Time Series Assignments and Solutions (pdf) |
| 23.06.06 | Following assignments can be prepared for the theoretical exercise on June 28th: Assignment sheet 3: Task 1-3; Assignment sheet 4: Task 1-3 There will be an additional assignment sheet for the practical exercise at 12 c.t. ( June 28th) in the PC-lab. |
| 28.06.06 | Exercise: The Time Series Assignments and Solution pdf-file was updated. There is an additional EViews assignment sheet for the exercise on June 28th. (pdf); workfile svar.wf1 |
| 29.06.06 | IMPORTANT: There is an additional exercise on Wednesday, July 5th, in the PC-Lab from 6 p.m. until 8 p.m. for those who could not attend the exercise on 28th of June. The assignmentsheet for this additional exercise will be EXACTLY the same as in the exercise on 28th of June!! In the follwing you can download old Time Series Exams: ts_ss04_exam_NT.pdf; ts_ss_04_exam_HT.pdf; ts_ss_04_exam_NT.pdf; ts_ss_05_exam_HT.pdf; ts_ss_05_exam_NT.pdf; ts_ss03_midtermexam_engl.pdf; ts_ss_03_exam_HT.pdf; |
| 10.07.06 | IMPORTANT: There will be additional practical exercises on Wednesday, July 12th, July 19th, July 26th. Since the capacity of the pc-lab is too small for the time series group, there will be two optional time slots: one from 6 p.m. until 8 p.m. and the other from 8 p.m. until 10 p.m. The content of the two exercises will be EXACTLY the same. |
| 12.07.06 | Time Series Assignments and Solutions4 (pdf) |
| 19.07.06 | VAR and Cointegration Slides: VAR: (ppt) Cointegration: (pdf) There will be no additional practical exercises on Wednesday July 19th!!! |
| 28.07.06 | VAR Slides of the practical exercise on July 26th.:(pdf) Workfile South Eastern Stock Markets: <link typo3 book_var.wf1>(wf1) |