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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



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).


  1. Overview
  2. ARMA processes
  3. Estimation
  4. Prediction
  5. Structural analysis
  6. Modeling nonstationary time series
  7. Modeling time-varying parameters
  8. 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.


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 schicken 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.



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: