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Time Series Analysis

Due to the corona epidemic, the teaching of this course for the Summer Semester 2020 will begin on June 22, 2020. It will be offered twice a week and exclusively in digital form, i.e. two lectures and two exercise sessions per week will be recorded and uploaded on ILIAS. 

Therefore, please make sure that you register for this course on ILIAS (https://ilias.uni-freiburg.de/login.php) in order to get access to the course material, recorded videos of lectures and exercise sessions as well as to updates and relevant information. Registrations are possible from April 20, 2020 to June 25, 2020, 8:59 am at the latest.

Starting with June 25, 2020, 9:00 am, a password will be required in order to access the course on ILIAS. The password will be sent to all registered students via ILIAS on June 25, 2020 at 9:00 am.

According to the Dean's office of Studies, you will have to sign in for the course in HISinOne. However, this does not automatically mean that you will receive the password to access the course‘s materials on ILIAS. Only the students who are registered in ILIAS will receive the password, i.e. although signed in in HISinOne, please also register in ILIAS for the course until June 25, 2020, 8:59 am, in order to get the password and, consequently, access to the course‘s materials.

 

Instructors

Prof. Dr. Roxana Halbleib (Lecture)
Christian Mücher (Exercise session)

Language

English

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 predications 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. (2014): 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. (2006): New Introduction to Multiple Time Series, Springer, Heidelberg. eBook
VPN access is required for the eBooks.
 
Exam
  • Written exam (90 minutes):
    Monday, August 10, 2020, 4:00 pm,
    Mensa Institutsviertel
  • Please bring your UniCard and your ID to the exam.
  • Period for registration and deregistration: June 8, 2020 – July 20, 2020
  • Please find further details on the examination office's homepage.
     
Grading100% final exam
  

Area of Study

M.Sc. VWL
  • Accounting, Finance and Taxation
  • Business Analytics
  • Constitutational Economics and Competition Policy
  • Empirical Economics
  • Network Economcs and IT Risk Management
     

M.Sc. BWL
(Public and
Non-Profit

Management)

  • Volkswirtschaftslehre
  • Quantitative Methoden
M.Sc. in
Economics
  • Economics and Politics
  • Finance
  • Information Systems and Network Economics

 

 

 

 

 

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