| Lecturer | Prof. Dr. J. Grammig |
| Profiles | First year Master |
| Prerequisites | Bachelor level exposure to Econometrics/Time Series Analysis |
| Language | English |
| Time and Place | Wednesday, 08:00 - 10.00 a.m. E 03, Mohlstr. 36 |
| Exam | 120 Minutes (oral exam possible) |
| Credit Points | 6 LP/7,5 ECTS |
| 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".
There will be two classes which cover exactly the same assignments.
Dipl.-Volkswirtin Kerstin Kehrle
Date: Tuesday, 10.00 - 12.00 a.m., PC-Labor, Nauklerstr. 47
Dipl.-Volkswirtin Franziska Peter
Date: Tuesday, 12.00 - 14.00 p.m., PC-Labor, Nauklerstr. 47
Course material
| 18.10.2007 | The first exercise will be a Gauss Introduction practical class on the 23.10.2007. |
| 23.10.2007 | The slides from the Gauss Introduction can be downloaded here (pdf) |
Lecture Introduction Slides (ppt) Timetable (xls) English-German Dictionary for introductory class (xls) 25 Easy pieces in MathStat (pdf) Lecture Slides Part 1 (pdf) | |
| 24.10.2007 | There won't be any practical classes on Tuesday, 30.10.2007. The lecture on Wednesday will take place as scheduled. |
| 31.10.2007 | Gauss program for random walk simulation. (prg) Questions for review (pdf) |
| 05.11.2007 | Link to Ilias |
| 05.11.2007 | The first assignment sheet can be downloaded here (pdf) |
07.11.2007 | Questions for review (pdf) |
| 12.11.2007 | Gauss Code for the Gauss Introduction (prg) Data set for Gauss Introduction slides (txt) |
| 13.11.2007 | Gauss support file for the first assignment <link fileadmin uni_tuebingen fakultaeten wiso wiwi uploads lehrstuehle prof._grammig lehrews0708 ats help_4_1st_assignment.txt download>(txt) |
| 14.11.2007 | Questions for review (pdf) |
| 19.11.2007 | The second assignment sheet can be downloaded here (pdf) Some additional material (pdf) |
| 20.11.2007 | Gauss support file for the second assignment (txt) Some additional material (pdf) (updated) |
| 21.11.2007 | Questions for review (pdf) |
| 26.11.2007 | The third assignment sheet can be downloaded here(pdf) |
| 27.11.2007 | Some additional material (pdf) |
| 27.11.2007 | Lecture Slides complete (pdf) |
| 28.11.2007 | Questions for review (pdf) |
| Lecture Slides new version (pdf) | |
| 04.12.2007 | Some additional material (pdf) |
| 10.12.2007 | The fourth assignment sheet can be downloaded here (pdf) Some additional material (pdf) |
| 11.12.2007 | Data for today's exercise (fmt) |
| 12.12.2007 | Questions for review (pdf) |
| 12.12.2007 | There will be only a short assignment sheet for next week's practical class, so that we will have time to answer questions concerning the previous assignment sheets. Please prepare your questions and make sure that your programm code is available. |
| 17.12.2007 | GARCH restricted estimates (fmt) Estimated variance covariance matrix of the GARCH restricted estimates (fmt) Data for Dickey Fuller tests (txt) The fifth assignment sheet can be downloaded here(pdf) |
| 18.12.2007 | Three dimensional plot for likelihood (prg) Three dimensional plot for a function (prg) Gauss helps for the fourth assignment sheet (txt) Gauss results for the fourth and fifth assignment sheet (txt) |
| 19.12.2007 | Questions for review (pdf) Lecture Slides complete with Cointegration (pdf) |
| 07.01.2008 | The sixth assignment sheet can be downloaded here (pdf) Gauss Source code for the sixth assignment sheet (src) |
| 08.01.2008 | Gauss results for the sixth assignment sheet (txt) |
| 11.01.2008 | Questions for review (pdf) |
| 14.01.2008 | The seventh assignment sheet can be downloaded here (pdf) The data for the seventh assignment sheet can be downloaded here (data_abx.fmt) |
| 14.01.2008 | Some results for the seventh assignment (vecm.txt) |
| 16.01.2008 | Questions for review (pdf) |
| 21.01.2008 | The eighth assignment sheet can be downloaded here (pdf) Note: The sixth assignment sheet is updated! |
| 22.01.2008 | Some graph settings used for impulse response functions (txt) |
| 24.01.2008 | Questions for review (pdf) (updated) |
| 04.02.2008 | The updated (!) nineth assignment sheet can be downloaded here (pdf ) together with the data set (txt) and the starting values for the first cml estimation (2 cointegration vectors) (x1.fmt) and the starting values for the second cml estimation (unrestricted) (x2.fmt). |
| 05.02.2008 | Another data set for a GARCH estimation: (fmt) results:(txt) |
| 06.02.2008 | Lecture Slides updated (pdf) Questions for review (pdf) |
| 11.02.2008 | Some help for the log- likelihood function of the 9th assignment sheet can be downloaded here: (prg) |
| 11.02.2008 | Some information regarding the Exam on 29.02.2008 (9 am to 11 am in the PC-Lab): (pps) |
| 29.02.2008 | |
| 12.04.2008 | Data for the EXAM: data_nt.fmt |