Multivariate Time Series Analysis
Lecture and Tutorial
Lecture (Mittnik):
Tue 2 p.m. - 6 p.m., Geschwister-Scholl-Platz 1 (A) - A U117
June 8 – July 20, 2010
Tutorial (Spanhel):
Fri 4:00 p.m - 7:30 p.m., Geschwister-Scholl-Platz 1 (D) - D Z007
June 11 – July 23, 2010
News:
June 16: For current updates click here.
June 10: The tutorial will start tomorrow (June 11) by 16:15. The first exercise sheet will be provided.
June 8: Informations regarding the "Schein"/exam(s) have been added (see below).
Topics:
- Overview
- ARMA processes
- Estimation
- Prediction
- Structural analysis
- Modeling nonstationary time series
- Modeling time-varying parameters
- GARCH
Target audience: Advanced and doctoral students in economics, business, statistics, mathematics and computer science.
Prerequisites: Working knowledge in mathematics (especially matrix algebra) and econometrics (Econometrics I) or statistics (linear models). Knowledge of univariate time series analysis is not a prerequisite but an advantage.
Schein: Passing written exam(s).
Informations for Statisticians regarding the "Schein":
The first part of the lecture „Multivariate Time Series Analysis“ is equivalent to the lecture „Multivariate Zeitreihen“ (3 ECTS-Credits) for statisticians; the second part can be recognised as „Ausgewählte Gebiete der theoretischen Statistik“ (3 ECTS-Credits). There will be an one-hour exam for each part. The exam „Multivariate Zeitreihen“will take place on July 23 from 4:30 p.m. to 5:30 p.m. Afterwards, the exam „Ausgewählte Gebiete der theoretischen Statistik“will take place from 6:00 p.m. to 7:00 p.m. (see below).
Information for Ph.D. candidates in economics:
This course is equivalent to "Time-Series Econometrics" and counts as a Ph.D. class. The exam covers both one-hour exams for each part.
Exam:
Date: July 23
Time: 4:30 p.m. - 5:00 p.m. (First part/ „Multivariate Time Series Analysis“)
6:00 p.m. - 7:00 p.m. (Second part/„Ausgewählte Gebiete der theoretischen Statistik“)
Place: D Z007
Duration: 60 minutes (in each case)
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 write an 
E-Mail (name, "MatrikelNummer", major, semester of study) to Fabian Spanhel.
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
Exercise Sheets:
- Exercise Sheet 1 Auxiliary Material
- Click here for more exercise sheets.