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Instructors: Prof. Dr. Bernd Lucke
Event type:
Interactive class
Displayed in timetable as:
Hours per week:
3
Credits:
6,0
Language of instruction:
English
Min. | Max. participants:
- | 45
Comments/contents:
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.
Learning objectives:
Competence in modern time series analysis, theoretical and in empirical work.
Didactic concept:
More information about the organisation of the online course can be found under materials after course registration.
Classroom lecture and integrated exercises. Some exercises require the use of econometric software. Students are expected to bring their own laptop with a Windows 10 operating System.
Literature:
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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