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Instructors: Prof. Dr. Bernd Lucke
Event type:
Interactive class
Displayed in timetable as:
Hours per week:
3
Credits:
6,0
Language of instruction:
English
Min. | Max. participants:
- | 45
Comments/contents:
This lecture provides an introduction to modern time series analysis. It covers basic concepts, univariate stationary processes, estimation, testing and forecasting, univariate nonstationary processes, spurious regressions, unit root tests, multivariate stationary processes, impulse response and variance decomposition analyses, Granger causality, multivariate nonstationary processes, cointegration and vector error correction models.
Learning objectives:
Competence in modern time series analysis, theoretical and in empirical work.
Didactic concept:
Classroom lecture and integrated exercises. Some exercises require the use of Windows-based econometric software. Software may also run with other operating systems, but no guarantees.
Literature:
Kirchgässner, G., and Wolters, J., (2007): Introduction to Modern Time Series Analysis, Springer Verlag, Berlin.
Lütkepohl, H., (2010): New Introduction to Multiple Time Series Analysis, Springer Verlag, Berlin.
Verbeek, M. (2001): A Guide to Modern Econometrics, 2nd edition, Wiley, Chichester.
Additional examination information:
Students will have to submit student contributions in the form of weekly lecture summaries. Timely submission of student contributions is a necessary condition for being admitted to the final exam.
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