Chair of Financial Econometrics

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Econometrics II in SS 2009

Lecture and Tutorial

Lecture (Haas)

as of 08.05.2009, Fri. 2 p.m. - 5 p.m., Room A 021, LMU (central building)

Tutorial (S. Yener)

as of 28.04.2009, Tue. 8 a.m. - 10 a.m., Room A 119, LMU (central building)



The results of the exam are online.

For exercise-sheets of "Econometrics I" in Winter Term 2008/2009 please have a look here. Please collect Lecture-Scripts in the office by Ms. Wintermantel  (Akademiestr. 1/I, Room 156).



Date: 24.07.2009 (Friday)

Time: 2 p.m. - 4 p.m.

Place: HS A 021, LMU (central building )

Duration: 120 minutes

Registration: not necessary

Auxilary material: Calculator, handwritten formulary on 2 sheets (4 pages) of DIN A4 paper (NO copies, NO printouts!), distribution tables.

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



  • Univariate Time Series Analysis
  • Integrated Times Series and Cointegration
  • Seemingly Unrelated Regression
  • Simultaneous Systems of Equations
  • Introduction to Vector Autoregressions



  • Greene, W. (2008): Econometric Analysis, 6.ed., Prentice Hall
  • Johnston, J. and DiNardo, J. (1996): Econometric Methods, 4.ed., McGraw-Hill/Irwin

Weiterführende Literatur:

  • Hamilton, J.D. (1994): Time Series Analysis, Princeton University Press
  • Lütkepohl, H.(1993): Introduction to Multivariate Time Series Analysis, Spinger-Verlag
  • Hamilton, J.D. (1994): Time Series Analysis, Princeton University Press
  • Hayashi, F. (2000): Econometrics, Princeton University Press