Time Series Econometrics
(08.04.2021)
| Lecturer | Prof. Dr. Bernhard Schipp |
| Contact Person | Paul Reiter |
| Module |
MA-WW-ERG-1909a |
| Scope and Type | The module comprises lectures of 2 SWS, exercises in the scope of 2 SWS as well as self-study. |
| ECTS | 5 |
| Exam Type | written exam 120 min |
| Dates / Cycle |
offered in summer semester Dates are published in OPAL. |
| Teaching Material |
teaching material see OPAL. |
| Content |
Based on the concept of stochastic processes, different types of models for time series data in economics are developed. In the first part of the course, univariate linear time series models (AR(p), MA(q), ARMA(p,q), ARIMA(p,d,q), ARFIMA (p,d,q)) are discussed. GARCH class models for time-dependent variability are then presented. Tests and estimation methods related to distribution, especially of financial market data are also considered. Multivariate time series models with VAR components and error correction mechanisms follow. The course concludes with the concept of cointegration and periodicity of time series. |
Questions? Please contact:
© Paul Reiter
Research Associate
NamePaul Reiter M.Sc.
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