Econometrics, Statistics and Empirical Economics

S411 Advanced Time Series in Economics and Finance

LecturerProf. Dr. J. Grammig
ProfilesFirst year Master
PrerequisitesBachelor level exposure to Econometrics/Time Series Analysis
LanguageEnglish
Time and Place Monday 12-14, c.t. HS23, Kupferbau
Tuesday 10-12, c.t. HS23, Kupferbau
Practical class

Group 1: Monday 8-10, c.t. PC-lab

Group 2: Monday 10-12, c.t. PC-lab

Examwritten exam and assignments
Credit Points9 ECTS
Start of the lecture13-10-2014

Literature

Hamilton J.: Time Series Analysis, Princeton University Press, 1994

Content

Rigorous treatment of state-of-the art univariate and multivariate time series methods used in economics and finance. Thorough treatment of autoregressive moving average (ARMA) models. Forecasting. Regression analysis with stationary
time series. Non-stationary processes. Structural Vector-Autoregressive Models and Cointegration. Equilibrium Correction models. Johansen methodology. Applications of time series methods in macroeconomics and finance. Modeling conditional heteroskedasticity in financial time series. Newer developments. Applications use GAUSS in practical class in PC lab.

Practical class

Detailed information on the practical class will be give in the first lecture. There will be no practical class in the first week of the winter term.