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Chair of Statistics and Econometrics
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Time Series Analysis

Registration for the Lecture

Students have to sign in for this course in HISinOne. The registration in ILIAS will be carried out automatically.

Registration for the Exam

Please note that the registration for the lecture does not automatically mean that you are registered for the exam! A separate registration for the exam is mandatory!
You can find the current examination dates as well as further information on the registration for the examination as well as the deadlines for registration and deregistration of the examinations on the homepage of the examination office. 

ILIAS

In ILIAS, the course can be accessed without a password until June 19, 2023, 08:59 a.m. Starting with June 19, 2023, 9:00 a.m., a password will be required in order to access the course material, the recorded videos of lectures and exercises sessions as well as the updates and relevant information in ILIAS. The password will be sent to all registered students via ILIAS on June 19, 2023 at 9:00 a.m.

Instructor

Prof. Dr. Roxana Halbleib (Lectures)

Christian Mücher (Exercise Sessions)

Language

English

Lectures

  • Mondays from 12:15 to 13:45 p.m., HS 3042 (KG III)
  • Tuesdays from 12:15 to 13:45 p.m., Max-Kade-Auditorium 1, Alte Universität

Exercise Sessions

  • Wednesdays from 12:30 to 14:00 p.m., PC-Pool 3, Werthmannstr. 4
  • Fridays from 12:15 to 13:45 p.m., PC-Pool-3, Werthmannstr. 4

Credits

6 ECTS

Work load

Approx. 180 hours

Requirements

Statistics, Econometrics

Qualification Target

This course aims at endowing students with the necessary econometric knowledge and tools for undergoing empirical research on data observed and sampled regularly in time, i.e. time series data.

Contents

The course covers the fundamentals of time series analysis (TSA) with emphasis on both theoretical foundations and empirical applications. The students learn to exploit the correlation (dependency) in time specific to time series economic variable (e.g., GDP growth rate, inflation rate, interest rate, financial returns) in order to provide accurate predictions and/or to detect (time) causalities within each series and among various economic variables. In particular, the course covers topics from univariate and multivariate TSA, such as ARIMA and vector ARMA processes, estimation, forecasting, Granger causality, impulse response functions, etc.
Besides a good understanding of the theoretical foundations and their strengths and limitations, students learn to practically apply the econometric tools specific to TSA to real economic problems (e.g., from macroeconomics, finance) during the computer tutorials by using the software Python.

Main References

  • Enders, W. (2015): Applied Econometric Time Series, 4th ed., Wiley.
  • Hamilton (1994): Time Series Analysis, Princeton University Press, Princeton.
  • Hayashi (2000): Econometrics, Princeton University Press, Princeton.
  • Lütkepohl, H. & Krätzig, M. (2004): Applied Time Series Econometrics, Cambridge University Press. eBook
  • Lütkepohl, H. (2005): New Introduction to Multiple Time Series Analysis, Springer, Heidelberg. eBook

VPN access is required for the eBooks.

Exam

  • Written exam (90 minutes): Thursday, August 10, 2023, 2 p.m., HS 3044 (KG III)
  • A separate registration is mandatory for the exam! Period for registration and deregistration: 05.06.2023-05.07.2023
  • Please find further details on the examination office’s homepage.
  • The exam will be in presence. In the exam you may use a non-programmable calculator, a hardcopy of a German-English dictionary book and a one-sided A4 hand-written cheat sheet.

Retake Exam

  • Final written exam (90 minutes): Friday, February, 23, 2024, 9 a.m., Seminar room 01012, Rempartstr. 16, 1. OG
  • A separate registration is mandatory for the exam! Period for registration and deregistration: 18.12.2023 – 18.01.2024
  • Please find further details on the examination office’s homepage.
  • The exam will be in presence. In the exam you may use a non-programmable calculator, a hardcopy of a German-English dictionary book and a one-sided A4 hand-written cheat sheet.

Grading

100% final exam

Target Group

  • M.Sc. VWL (Accounting, Finance and Taxation / Business Analytics / Constitutional Economics and Competition Policy / Empirical Economics / Network Economics and IT Risk Management)
  • M.Sc. BWL (Volkswirtschaftslehre / Quantitative Methoden / Wirtschaftsinformatik)
  • M.Sc. in Economics (Economics and Politics / Finance / Information Systems and Network Economics)