Time Series Analysis
Update 21.03.2022:
- The review of the retake exam of the SS 2021 will take place on Tuesday, 26.04.2022, 13-14pm. Prior registration on ILIAS is necessary. For further questions you may contact christian.muecherdumdummymy@vwl.uni-dudummymmyfreiburg.de.
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!
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| 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.
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| Language |
English
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| Credits |
6 ECTS
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| Work load |
Approx. 180 hours
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| Requirements |
Statistics, Econometrics
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| 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.
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| 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. |
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| Main References |
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| Exam |
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| Retake Exam |
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| Grading | 100% final exam | |||||||||||||||||||||
Area of Study |
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| M.Sc. VWL |
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M.Sc. BWL (Public and Non-Profit Management) |
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| M.Sc. in Economics |
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