Econometrics I

Instructor: 
Time I: 
Tuesday,
10:00am to 11:45am
Time II: 
Thursday,
08:30am to 10:00am
Venue I: 
SPA1, R203/25
Venue II: 
SPA 1, R203
Description: 

1. Descriptive Methods

Sample Moments

Classical Components Models

Trend Determination Seasonal Adjustment

 

2. Models of Time Series

Stochastic Processes and Stationarity

AR, MA and ARMA Processes

The Partial Autocorrelation Function

 

3. Estimation, Specification, Validation and Forecasting of ARMA Models

 

4. Models for Nonstationary Time Series and Unit Root Tests

Trend Stationarity vs. Unit Root

ARIMA and Seasonal ARIMA Models

Unit Root Tests

 

5. GARCH Models for Clustered Volatility

 

6. Multivariate Extensions VAR Processes

Causality and Impulse Response Analysis

Cointegrated Processes

 

References

Schlittgen/Streitberg (2001): Zeitreihenanalyse, München. * Hamilton (1994): Time Series Analysis, Princeton University Press.

Lütkepohl, H. (2005): New Introduction to Multiple Time Series Analysis, Springer Verlag, Heidelberg.

Credits: 
9.00
Semester: 
Fall 2011
Affiliation: 
Humboldt-Universität zu Berlin