Introduction to Econometric Time Series Analysis

Lecture Summer Term 2016

Introduction to Econometric Time Series Analysis

 

Lecturer:
Alexander Lindner

Class  Teacher:

  Abdulkahar Alkadour
Type:

Master Economics.

 

News:

No exercise class on Tuesday, 12th of April,  but  extra lecture. 

No lecture on  Monday, 23 May, But exercise class.

On May 30 and 31 exchange between lecture and exercise class.

 

 

Time and Venue:
  • Lecture: Monday, 16:15-17:45, Heho 18 - 220.
  • First Lecture: 11th of April.
  • Exercise class: Tuesday, 12:15-13:45, Heho 18 -220.
  • First Exercise class: 19th of April.

Final Exam:

 

 

Schedule:

Written, Tuesday the 12.07.2016 at 12:00  in  Heho 18 - 220.

Written (retake), Tuesday the 20.09.2016 at 12:00  in  Heho 18 - E20.

 

2h lectures + 2h exercises ( 7 credits).

 

Prerequisites:

Elementary knowledge of Statistics and Probability.

 

Contents:


  • Basic classifications and decompositions of the time series.
  • Analytic methods in time and frequency domain.
  • Linear time series models (MA-, AR-, ARMA-models).
  • Model fitting and statistical analysis.
  • Prediction of time series.
  • GARCH-Processes.
  • Practical analysis of time series with statistical software (for instance R).

Literature:
 
  • Brockwell,P., Davis, R. A., Introduction to Time Series and Forecasting, Springer, 2010.
  • Schlittgen, R., Streitberg, B., Zeitreihenanalyse, Oldenbourg, 9. Aufl., 2001.
  • Schlittgen, R., Angewandete Zeitreihenanalyse mit R, Oldenbourg, 2. Aufl. 2012.
  • Hamilton, J. D., Time Series Analysis, Princeton University Press, 1994.
  • Wooldridge, Jeffrey, Introductry ecomometrics: A modern approach. Cengage Learning, 2012.
  • Greene, W., Econometric Analysis, 7th edn. Prentice Hall, 2011.

Exercise sheets:

 

Lecture notes:

 Can be downloaded on Moodle.

 

 Can be downloaded on Moodle.