Time Series Analysis

The inspection for the Time Series Analysis exam will take place on Monday 11 April 2024 from 14:00 to 14:30 in room 01012, Rempartstr. 16, 1st floor. For further questions you may contact axel-friedrich.wolter@vwl.uni-freiburg.de.

The teaching for this course will begin on June 12, 2023. The teaching is in presence. There will be no livestreaming of the lectures or exercise sessions.

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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 19, 2023, 08:59 a.m. Starting with June 19, 2023, 9:00 a.m., 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 19, 2023 at 9:00 a.m.
Instructor	Prof. Dr. Roxana Halbleib Christian Mücher
Language	English
Lectures	Mondays from 12:15 to 13:45 p.m., HS 3042 (KG III) Tuesdays from 12:15 to 13:45 p.m., Max-Kade-Auditorium 1, Alte Universität
Exercise Sessions	Wednesdays from 12:30 to 14:00 p.m., PC-Pool 3, Werthmannstr. 4 Fridays from 12:15 to 13:45 p.m., PC-Pool-3, Werthmannstr. 4
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 predictions 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. (2015): 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. (2005): New Introduction to Multiple Time Series Analysis, Springer, Heidelberg. eBook VPN access is required for the eBooks.
Exam	Written exam (90 minutes): Thursday, August 10, 2023, 2 p.m., HS 3044 (KG III) A separate registration is mandatory for the exam! Period for registration and deregistration: 05.06.2023-05.07.2023 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 hardcopy of a German-English dictionary book and a one-sided A4 hand-written cheat sheet.
Retake Exam	Final written exam (90 minutes): Friday, February, 23, 2024, 9 a.m., Seminar room 01012, Rempartstr. 16, 1. OG A separate registration is mandatory for the exam! Period for registration and deregistration: 18.12.23 - 18.01.24 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 hardcopy of a German-English dictionary book and a one-sided A4 hand-written cheat sheet.
Grading	100% final exam
Target Group	M.Sc. VWL (Accounting, Finance and Taxation / Business Analytics / Constitutional Economics and Competition Policy / Empirical Economics / Network Economics and IT Risk Management) M.Sc. BWL (Volkswirtschaftslehre / Quantitative Methoden / Wirtschaftsinformatik) M.Sc. in Economics (Economics and Politics / Finance / Information Systems and Network Economics)