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Time Series Analysis

Please notice that the Q&A Session on 13 July 2021 will be held from 15:30 to 17:00, i.e., it will start half an hour earlier as planned!

 

The teaching for this course will begin on June 7, 2021. Due to the corona epidemic, it will be exclusively offered in digital form, i.e. two lectures and two exercise sessions per week will be recorded and uploaded on ILIAS. The frist two lectures will be uploaded on June 7, 2021.

Students have to sign in for this course in HISinOne. The registration in ILIAS will be carried out automatically.

In ILIAS, the course can be accessed without a password until June 14, 2021, 08:59 am. Starting with June 14, 2021, 9:00 am, a password will be required in order to access the course material, the recorded videos of lectures and exercises sessions as well as the updates and relevant information in ILIAS. The password will be sent to all registered students via ILIAS on June 14, 2021 at 9:00 am.

Please note that the registration for the lecture does not automatically mean that you are registered for the exam! A separate registration for the exam is mandatory!

 

Instructors
Q&A Live Sessions

We will offer Q&A Live Sessions on the dates stated below. During the Q&A Live Sessions, the students have the opportunity to ask questions regarding the material of the weeks preceding the Q&A Live Session.The Q&A Live Sessions take place in BigBlueButton (BBB).

Starting with June 14, 2021, the link and the password to the BBB platform of the Q&A Live Sessions will be announced on Ilias.

Date Time Window Lecturer/Instructor
14.06.2021 16:00-17:30 Roxana Halbleib
22.06.2021 09:00-10:30 Christian Mücher
28.06.2021 16:00-17:30 Roxana Halbleib
06.07.2021 09:00-10:30 Christian Mücher
13.07.2021 15:30-17:00 Roxana Halbleib
20.07.2021 09:00-10:30 Christian Mücher
Language
English
Credits
6 ECTS
Work load
Approx. 180 hours
Requirements
Statistics, Econometrics
Qualification Target
This course aims at endowing students with the necessary econometric knowledge and tools for undergoing empirical research on data observed and sampled regularly in time, i.e. time series data.
Contents
The course covers the fundamentals of time series analysis (TSA) with emphasis on both theoretical foundations and empirical applications. The students learn to exploit the correlation (dependency) in time specific to time series economic variable (e.g., GDP growth rate, inflation rate, interest rate, financial returns) in order to provide accurate predications and/or to detect (time) causalities within each series and among various economic variables. In particular, the course covers topics from univariate and multivariate TSA, such as ARIMA and vector ARMA processes, estimation, forecasting, Granger causality, impulse response functions, etc.
Besides a good understanding of the theoretical foundations and their strengths and limitations, students learn to practically apply the econometric tools specific to TSA to real economic problems (e.g., from macroeconomics, finance) during the computer tutorials by using the software Python.
Main References
  • Enders, W. (2014): Applied Econometric Time Series, 4th ed., Wiley.
  • Hamilton (1994): Time Series Analysis, Princeton University Press, Princeton.
  • Hayashi (2000): Econometrics, Princeton University Press, Princeton.
  • Lütkepohl, H. & Krätzig, M. (2004): Applied Time Series Econometrics, Cambridge University Press. eBook
  • Lütkepohl, H. (2006): New Introduction to Multiple Time Series, Springer, Heidelberg. eBook
VPN access is required for the eBooks.
Exam
  • Written exam (90 minutes): Wednesday, August 4, 2021, 10am
    HS 1010 (KG I)
  • Period for registration and deregistration: June 14, 2021 until July 14, 2021
  • Please find further details on the examination office's homepage.
Retake Exam
  • Final written exam (90 minutes): Thursday, February 10, 2022, 12pm
  • Online as open book
  • Open book means that you may use all available materials, but you have to work individually and not communicate with anybody. As we do not supervise you in any form, you will need to sign an agreement that you worked individually. 
Grading 100% final exam
   

Area of Study

M.Sc. VWL
  • Accounting, Finance and Taxation
  • Business Analytics
  • Constitutational Economics and Competition Policy
  • Empirical Economics
  • Network Economcs and IT Risk Management

M.Sc. BWL (Public and Non-Profit Management)

  • Volkswirtschaftslehre
  • Quantitative Methoden
  • Wirtschaftsinformatik
M.Sc. in
Economics
  • Economics and Politics
  • Finance
  • Information Systems and Network Economics