Econometrics, Statistics and Empirical Economics

S411 Advanced Time Series in Economics and Finance

   
Lecturer Prof. Dr. Joachim Grammig
Dr. Jantje Sönksen
   
Profiles First year Master
   
Prerequisites Bachelor level exposure to Econometrics/Time Series Analysis
   
Language English
   
Time and Place Monday 12:10-13:50 HS23, Kupferbau
Tuesday 10:10-11:50 HS23, Kupferbau
   
Practical class

Group 1: Monday 8-10 PC-lab

Group 2: Monday 10-12 PC-lab

   
Exam written exam and assignments
   
Credit Points 9 ECTS
   
Start of the lecture 15-10-2018
   

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 Matlab 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.