Introduction to Econometric Time Series Analysis

Lecture Summer Term 2018

Introduction to Econometric Time Series Analysis

 

Lecturer:
Alexander Lindner

Class  Teacher:

Abdulkahar Alkadour
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 . 

 
 

 

 

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
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).

 

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.