Lecturer:
| Alexander Lindner |
Class Teacher: | Abdulkahar Alkadour |
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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. |
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| 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.
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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).
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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.
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Exercise sheets: Lecture notes:
| Can be downloaded on Moodle. Can be downloaded on Moodle. |
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