Univariate Zeitreihenökonometrie - Einzelansicht

Die Freitagsübung findet im PC-Pool 1.65a statt. Für aktuelle Informationen siehe Homepage.

Die erste Vorlesung findet am 19.11.2020 statt. Die erste Übung findet am 20.11.2020 statt.

• Kirchgässner, G., J. Wolters und U. Hassler (2013): Introduction to Modern Time Series Analysis, Springer-Verlag.
• Enders, W. (2004): Applied Econometric Time Series, Wiley & Sons.
• Lütkepohl, H. (2007): New Introduction to Multiple Time Series Analysis, Springer-Verlag.
• Hamilton, J.D. (1994): Time Series Analysis, Princeton University Press.

Klausur (90min)

Current information can be found on our chair homepage!

This course deals with time series econometric methods that are mainly applied to the fields of macroeconomics and finance. The lecture and the tutorials will be held in English. Foundations in mathematics and statistics are essential. Models of univariate stationary and non-stationary processes will be presented. Students learn methods and tools for analyzing time series and apply them in computer tutorials to recent, real world data.

The course will be held within the first weeks of the semester. In a very compact form, the time series bootcamp will cover many lecture hours in a fairly short period of time. Note, however, you will have that course finished very quickly, too. 

Topics include:

• ARMA processes
• Persistent processes
• Integrated and co-integrated processes