Econometrics, Statistics and Empirical Economics

S411 Advanced Time Series in Economics and Finance

LecturerDr. Thomas Dimpfl
ProfilesFirst year Master
PrerequisitesBachelor level exposure to Econometrics/Time Series Analysis
LanguageEnglish
Time and Place

Monday 10 a.m. - noon, c.t. - Mohlstraße 36, E03 (neu)
Tuesday 10 a.m. - noon, c.t. - Mohlstraße 36, E04

Wednesday 10 a.m. - noon, c.t. - practical class in PC lab (from October 30)

The first lecture takes place on Tuesday, October 15, 2013!

Examwritten exam and assignments
Credit Points9 ECTS

Literature

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

Hayashi F.: Econometrics, Princeton University Press, 2000

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.