Course: Time Series Analysis
| Lecture | t.b.a |
| Tutorial | t.b.a. |
| Audience | Master |
| Credit points | 6 |
| Language | English |
The course will start with reviewing the fundamental concepts in regression analysis. The course will also cover further topics such as stationary and non-stationary time-series models, models with trends, multiequation time-series models (VAR models), cointegration and (vector) error correction models, Granger causality, the application of time-series methods to panel data etc.
Students will learn to implement the estimation methods using the econometric package Gretl. Other packages (such as Stata or EViews) may also be used.
Course Overview
ILIAS
Literature:
- Kirchgässner, G., Wolters, J., Introduction to Modern Time Series Analysis, Springer
- Enders, W., Applied Econometric Time Series, 2nd ed., Wiley
- Shumway, R.H., Stoffer D.S., Time Series Analysis and its Applications, 2nd ed., Springer
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