Lecturer:
| Alexander Lindner |
Class Teacher: | Abdulkahar Alkadour |
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Type:
| Master Economics. This course is only for Master in Economics Students. |
News: | - Exam: Written (90 minutes), On Tuesday, July 17, 2018 at 12 o'clock in HeHo18, E.60.
- From May 08, the Lecture will take place on Tuesday from 12:15 - 13;45 in He.18, E.06.
This means: On April 26, and May 03 the Lecture takes place on Thursday, 10:15-11:45 after that
(from Tuesday, May 08) it will regularly take place on Tuesday, 12:15 - 13:45 in He.18, E.06. - On Thursday 19/04 there will be a lecture of 45 minutes from 11:00 till 11:45.
- On Friday 20/04 there is no exercise class but an additional lecture from 12:30 till 14:00 .
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| Time and Venue: | - Lecture: Tuesday, 12:15 - 13:45, He.18, E.06.
- Exercise class: Friday, 12:00-13:30, Heho 18, E20.
- First Exercise class: 27/04/2018
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| Final Exam: | Written (90 minutes), On Tuesday, July 17, 2018 at 12 o'clock in HeHo18, E.60. |
Schedule: | 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:
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