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Lehrende: Prof. Dr. Bernd Lucke
Veranstaltungsart:
Interaktive Lehrveranstaltung
Anzeige im Stundenplan:
Semesterwochenstunden:
3
Credits:
6,0
Unterrichtssprache:
Englisch
Min. | Max. Teilnehmerzahl:
- | 45
Kommentare/ Inhalte:
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.
Lernziel:
Competence in modern time series analysis, theoretical and in empirical work.
Vorgehen:
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.
Literatur:
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.
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