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Time Series Analysis

Update 31.08.2022: The inspection for the Time Series Analysis exam will take place on Tuesday 18 October from 9:00 until 10:00 in room 01012, Rempartstr. 16, 1st floor. Prior registration on Ilias is necessary. For further questions you may contact christian.dumdummymymuecher@vwl.uni-dudummymmyfreiburg.de.

 

The teaching for this course will begin on June 20, 2022. For organizational reasons, we ask the students to register in HISinOne until June 6, 2022 at the latest.

The teaching is in presence. However the lectures and exercise sessions will be livestreamed in ILIAS. More information below.

Please note that the lectures start at 12:30 pm.

 

Corona Information regarding the Corona rules at the University of Freiburg can be found here.
Registration for the Lecture Students have to sign in for this course in HISinOne. The registration in ILIAS will be carried out automatically.
Registration for the Exam

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!
You can find the current examination dates as well as further information on the registration for the examination as well as the deadlines for registration and deregistration of the examinations on the homepage of the examination office.

Ilias In ILIAS, the course can be accessed without a password until June 27, 2022, 08:59 am. Starting with June 27, 2022, 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 27, 2022 at 9:00 am.
Instructors
Language
English
Lectures
  • Mondays from 12:30 to 14:00 pm, Max-Kade-Auditorium 2, Alte Universität
  • Tuesdays from 12:30 to 14:00 pm, Max-Kade-Auditorium 2, Alte Universität

The livestreaming of the lectures is through Panopto in ILIAS. Please follow in ILIAS the path: Livestreaming of the Lectures.

Exercise Sessions
  • Wednesdays from 14:15 to 15:45 pm, HS 3042, Kollegiengebäude III
  • Fridays from 12:15 to 13:45 pm, HS 1015, Kollegiengebäude I

The exercise sessions are livestreamed through BigBlueButton instead of Panopto. The link for the BigBlueButton room is posted on ILIAS.

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): Thursday, August 4, 2022, 12pm, HS 3044.
  • A seperate registration is mandatory for the exam! Period for registration and deregistration: June 13, 2022 until July 13, 2022
  • Please find further details on the examination office's homepage.
  • The exam will be in presence. In the exam you may use a non-programmable calculator, a hard copy of a German-English dictionary book and a one-sided A4 hand-written cheat sheet.
  • However, if it becomes necessary due to the Corona pandemic, we will decide in time that the exam will take place 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.
Retake Exam
  • Final written exam (90 minutes): tba
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