Econometrics I (HU)

Instructor: 
Time I: 
Tuesday,
10:00am to 12:00pm
Time II: 
Thursday,
12:00pm to 02:00pm
Venue I: 
HU Berlin, Spandauer Str, 1, Room 220
Venue II: 
HU Berlin, Spandauer Str. 1, Room 203/PC-Pool 025
Description: 

Classical components models; stochastic processes; stationarity; ARIMA processes, GARCH models; specification, estimation and
validation of models; forecasting; unit root tests; multivariate extensions: VAR processes, causality and impulse response analysis,
cointegrated processes. In the tutorials the time series methods are applied to empirical data.

Literatur:
Hamilton, D.J. (1994). Time Series Analysis, Princeton University Press.
Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis, Springer Verlag, Heidelberg

Exam:
Written exam (90 min; 3/4 of final grade) and assignments (1/4 of final grade)

Credits: 
9.00
Program: 
Semester: 
Fall 2013
Affiliation: 
Humboldt-Universität zu Berlin
End date of the whole course: 
Saturday, February 15, 2014 - 2:00pm