Econometrics, Statistics and Empirical Economics

S411 Advanced Time Series Analysis in Economics and Finance

Lecturer Prof. Dr. Joachim Grammig, Dr. Jantje Sönksen, Alexander Reining
Profiles First year Master
Prerequisites Bachelor level exposure to Econometrics/Time Series Analysis
Language English
Time and Place

Monday 12:00  - 14:00 c.t., HS 23, Kupferbau
Tuesday 10:00 - 12:00 c.t., HS 23, Kupferbau

Practical class tba
Exam written exam and assignments
Credit Points 9 ECTS
Start of the lecture 2023-10-16
Ilias-password #VECM24


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


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.