Time Series Analysis

Course Description
PDF ∙ 168 KB

Lecture

Lecturer: Prof. Dr. Roland Schuhr
Dates:
Di, 09:15 – 10:45, BBB-Webkonferenz
Mi, 09:15 – 10:45, BBB-Webkonferenz
Place: online
Start: 13.04.2021
Course Language: German

Exercises

Lecturer: Prof. Dr. Roland Schuhr
Dates: Do, 09:15 – 10:45, BBB-Webkonferenz
Start: 13.04.2021
Course Language: German

1. Time series and stochastic processes: Basic definitions and concepts
2. Elementary time series analysis techniques
3. Linear Univariate Models (ARMA, ARIMA and SARIMA models)
4. Linear Multivariate Models (VAR, SVAR and VEC models)
5. Conditional heteroscedastic models (ARCH and GARCH models)

The target group of the module are students of Master's programmes in economics with an interest in empirical economic research, financial market analyses and/or business forecasting.

A sound knowledge of statistics is required (descriptive statistics, probability theory, basics of estimation and test theory, basics of econometrics - especially simple and multiple regression analysis).

As proof of achievement, a project work in a team is required, the results of which are summarised in writing (during the semester break) and presented in a lecture (end of September/beginning of October).