Lecturer | Prof. Dr. J. Grammig |
Aptitude | undergraduate Mathematics I and II and Statistics I and II |
Language | English |
Time and Place | Wednesday, 10:15 - 11:45 a.m. Übungsraum E 03, Mohlstr. 36 |
Exam | 120 Minutes (oral exam possilble) |
Credit Points | 6 |
Content | 1. Introduction: Time Series in Economics and Finance 2. Univariate Time Series Modelling (ARMA, GARCH) 3. Multivariate Time Series (Vector Autoregressions and Cointegration) |
Literature | Enders W. (1995): Applied Econometric Time Series, John Wiley and Sons. Hamilton J.(1994): Time Series Analysis, Princeton University Press. |
Practical class
Practical exercises for material covered in lecture "Time Series Analysis"
Date: Wednesday, 12:25 - 13:55 a.m., PC-Labor, Nauklerstr., respectively E 03, Mohlstr. 36
Course material
12.04.05 | Twenty-five easy pieces in mathamatical statistics (pdf) Exercises hypothesis testing (pdf) |
13.04.05 | Slides of introductory lecture (pdf) Note: Solutions to quiz in previous version of pdf document were just an illustration. |
21.04.05 | GAUSS program used in lecture (rw_sim.prg) First set of assignments covering material of first week lecture and exercise (pdf) |
25.04.05 | We agreed to change the time slot for the exercise. It is from this week on 12.25-13.55(+break time). Information about chapters in Hamilton (1994) and Enders (1995) that we will cover in this course. In Hamilton (1994) we will use material from chapters 1, 2, 3, 4, 5, 10, 11, 17, 19. In Enders (1995) this material is covered in chapters 1, 2, 4, 5 and 6. Note that we do NOT deal with the whole material of those chapters, but focus on the material that is appropriate and useful for this introductory class. |
06.05.05 | Second set of assignments (pdf) |
11.05.05 | Data for practical excercises |
17.05.05 | Third set of assignments (pdf) |
25.05.05 | An additional practical exercise in the PC lab will take place on Friday, 27.05 starting at 14:15 (90 minutes). Lecture slides: "Mathematical Techniques in Time Series Analysis" |
27.05.05 | Fourth set of assignments (pdf) |
10.06.05 | Fifth set of assignments (pdf) |
15.06.05 | As announced in the lecture, next week's lecture & exercise (10-12) and (12-14) will be postponed due to a research seminar that I have to give in Mannheim. Here are the final exams of Summer 2003 (erst_ss03.pdf) (zweit_ss03.pdf) and Summer 2004 (erst_ss04.pdf) (zweit_ss04.pdf). And here are the solutions for the Summer 2004 second |
17.06.05 | Sixth set of assignments (pdf) Passenger data Frankfurt-Capetown fracpt.wf1 |
30.06.05 | |
14.07.05 | Slides Cointegration (update) |
19.07.05 | Assignments and solutions (only numerical solutions are provided) (pdf) (corrected version) |
26.07.05 | Practical session today will take place at the PC lab from 6 p.m. c.t. onwards |