Time Series Analysis

Instructor: 
Time I: 
Monday,
10:15am to 11:45am
Time II: 
Tuesday,
12:15pm to 01:45pm
Venue I: 
HU Berlin, Spandauer Str. 1, Room 23
Venue II: 
HU Berlin, Spandauer Str. 1, Room 203
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.

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

Time and venue:
Mondays, 10-12, Spandauer Straße 1, room 23
Tuesdays, 12-14, Spandauer Straße 1, room 203 (Individual dates are held in room 25 (PC-Pool).)

Exam:
Written exam (90 min)

Credits: 
6.00
Program: 
Semester: 
Spring 2019
Affiliation: 
Humboldt-Universität zu Berlin