Quantitative Macroeconomics - Time Series Methods - Einzelansicht

Allgemeines

The seminar „Quantitative Macroeconomics – Time Series Methods” at the Chair of Economic Growth, Integration and Sustainable Development in the winter term 2022/2023 deals with univariate and multivariate time series methods necessary to analyze macroeconomic dynamics. The course provides the theoretical background of standard methods and focuses on the implementation of these methods in the statistical software package R. Specifically the course covers:

• Stationarity and Autocorrelation Function
• AR and MA processes
• Filtering Methods
• ARMA and ARIMA processes
• Model selection and Diagnostic Checking
• Forecasting and Interpretation of models
• Granger Causality

Dates and Room Information

The course will be given on the following dates:

Thu., 05.01.2023, 10am - 2pm, S14

Frid., 06.01.2023, 10am - 2pm, S14

Thu., 12.01.2023, 10am - 2pm, S19

Frid., 13.01.2023, 10am - 2pm, 3.07.039

Thu., 19.01.2023, 10am - 2pm, S24/S16

Frid., 20.01.2023, 2pm - 6pm, S14

Thu., 26.01.2023, 10am - 2pm, S19

Enders (2014). Applied Econometric Time Series. John Wiley and Sons, New York.

Stock & Watson (2003). Introduction to Econometrics. Addison-Wesley, Boston.

Verbeek (2004). A Guide to Modern Econometrics. John Wiley and Sons, Chichester.

Zulassungsbeschränkung: 10 Teilnehmer:innen

No previous knowledge of time series econometrics. I expect that students have completed an undergraduate-level introduction to econometrics and statistics. Prior experience with the software R is not a prerequisite, however, it is certainly advantageous. [Students should have their own laptop with pre-installed R.]

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