Econometrics, Statistics and Empirical Economics
LecturerProf. Dr. J. Grammig
ProfilesFirst year Master
PrerequisitesBachelor level exposure to Econometrics/Time Series Analysis
LanguageEnglish
Time and PlaceMonday 4-6 p.m.
Tuesday 10-12 a.m.
E03, Mohlstr. 36
Examwritten exam
Credit Points7.5 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

20.10.2009Information 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)

21.10.2009Assignments 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)

27.10.2009Assignments 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)
03.11.2009Assignments 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)
15.12.2009Garch 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)

18.01.2010Data for the nineth assignment sheet (txt). Source file for SVAR (src).
01.02.2010Data for the 11th assignment (fmt)
08.02.2010Data for the 12th assignment (txt) and starting values for cml estimation (x1.fmt) and (x2.fmt)
16.02.2010Data for 13th assignment (txt), source files for Gauss VECM estimation: (src), Results and plot : (src)
18.02.2010Grades for the second assignment (pdf)
01.03.2010Updated script is available on Ilias