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Time Series Analysis in SS 2009

Lecture and Tutorial

Lecture (Mittnik):

25.04.2009 – 30.04.2009

Tutorial (Spanhel):

Tuesday 5 p.m. – 8 p.m., Friday 4 p.m. – 7 p.m.: 5.5., 8.5., 12.5., 15.5., 19.5., 22.5., 26.5., 29.5., 2.6., 5.6.,
Room C 113, Theresienstr. 41

 

News:

Results for General Exam:

The results for the general exam are available - have a look at the seminar's notice-boards. For the 'Scheine': since the secretary's office (Room 120, Akademiestr. 1/I) is not occupied in September, you can pick them up again only from October on.

 

Topics:

  • Overview
  • Stochastic processes: A brief overview
  • ARMA processes
  • Estimation
  • Prediction
  • Structural analysis
  • Modeling nonstationary time series
  • Modeling time-varying parameters

 

Target audience: Advanced and doctoral students in economics, business, statistics, mathematics and computer science.

Prerequisites: Working knowledge in mathematics (linear algebra, calculus) and econometrics (Econometrics I) or statistics (linear models).

Schein: Passing written exam.

 

Exam:

 

Results for General Exam:

The results for the general exam are available - have a look at the seminar's notice-boards. For the 'Scheine': since the secretary's office (Room 120, Akademiestr. 1/I) is not occupied in September, you can pick them up again only from October on.

Date: 16.06.2009 (Tuesday)

Time: 6 p.m. - 8 p.m.

Place: DZ 007

Duration: 120 minutes

Auxilary material: Calculator, handwritten formulary on 6 sheets (12 pages) of DIN A4 paper (NO copies, NO printouts!).

Registration: Please register for the examination and fill out the registration form (name, "MatrikelNo", major, semester of study).

For identification issues, please bring along your student ID as well as your personal ID.

 

Literature:

Most useful textbook for course:

  • Lütkepohl, H., New Introduction to Multiple Time Series Analysis, New York: Springer-Verlag, 2005

Additional useful textbooks:

  • Brockwell, P. J. and Davis, R. A. (1987), Time Series: Theory and Methods (2nd edition)
  • Hamilton, J. D. (1994), Time Series Analysis, Princeton University Press
  • Lütkepohl, H., Krätzig, M. (2004), Applied Time Series Econometrics, Cambridge University Press
  • Rinne, H. and Specht, K. (2002), Statistische Modellierung, Schätzung und Prognose, Vahlen
  • Tsay, R. S. (2005), Analysis of Financial Time Series (2nd edition), Wiley-Interscience
  • Wei, W. W. S.(2005), Time Series Analysis: Univariate and Multivariate Methods (2nd edition), Addison-Wesley

 

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