Wirtschaftswissenschaftliche Fakultät

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Time Series Analysis


Lecturer: Dr. habil. T. Klarl
Date: see timetable
Building/Room: see timetable


Abstract:

This course deals with statistical models that can be used to explain the behavior of time series (which can also be vector valued) and to forecast them. Past realizations of a particular time series are often the only information available. As such, this course offers extensions of the methods tought in "Introductory Econometrics" dealing with data that are generated by stochastic processes. But also the properties of the data themselves are of interest. E.g. business cycle models often imply specific patterns in the data that can be verified using time series methods. Forecasting and data analysis are therefore the major topics of this course.


Content:

  1. Basics
    1. Introduction
    2. Linear diffenerence equations
    3. The lagoperator
    4. Linear filters
  2. Univariate processes
    1. Stochastic processes
    2. Linear stochastic processes
    3. Estimation of ARMA processes
    4. Forecasting With ARMA processes
    5. Spectral analysis
    6. Non-stationary processes
  3. Multivariate processes
    1. Vector autoregessive processes (VARs)
    2. Cointegration


Literature:

Box, George E.P., Gwilym M. Jenkins und Gregory C. Reinsel. 1994. Time Series Analysis: Forecasting and Control. 3rd Ed. Upper Saddle River: Prentice-Hall

Davidson, Russel und James G. MacKinnon. 1993. Estimation and Inference in Econometrics. New York und Oxford: Oxford University Press

Enders,Walter. 1995. Applied Econometric Time Series. New York: John Wiley & Sons.

Greene, William H. 2003. Econometric Analysis, 5th. Ed. Upper Saddle River, NJ: Prentice Hall

Hamilton, James D. 1994. Time Series Analysis. Princeton, NJ.: Princeton University Press

Hayashi, Fumio. 2000. Econometrics. Princeton und Oxford: Princeton University Press

Lüthkepohl, Helmut. 1993. Introduction to Multiple Time Series Analyses. 2nd Ed. Berlin: Springer

Murata, Yasuo. 1977. Mathematics for Stability and Optimization of Economic Systems. New York: Academic Press

Sargent, Thomas J. 1987. Macroeconomic Theory, 2nd. Ed.. Boston: Academic Press

Schlittgen, Rainer und Bernd H. J. Streitberg. 2001. Zeitreihenanalyse, 9. Auflage. München und Wien: Oldenbourg Verlag


More information:

Recommended semester: Master
Field of study: Master iBWL & Master EPP, Fortgeschr. Methoden EPP; Diplom iBWL/iVWL: Cluster E&I (PO 2005); Master GBM, Methoden; Master DFM, Cluster E&I; Master Rewi, Allg. Bereich
Duration: 2 SWS
Type: V - Vorlesung
Semester: SS 2017