Bachelor
2018/2019
Time Series
Type:
Compulsory course (Economics)
Area of studies:
Economics
Delivered by:
Department of Economics
When:
3 year, 4 module
Mode of studies:
distance learning
Instructors:
Vladimir Pyrlik
Language:
English
ECTS credits:
3
Contact hours:
8
Course Syllabus
Abstract
Time series analysis is one of the natural extensions of Econometrics I and other corresponding econometrics related courses. The course is supposed to provide the students with a set of tools that are useful for both theoretical and empirical modeling of dynamic economic data coming in the form of both univariate and multivariate time series. The course content covers (but not limited to) an overview of the crucial theoretical results of contemporary time series econometrics and of the approaches towards empirical application of these results to empirical data and tasks, including estimation of dynamic economic models and practical forecasting.
Learning Objectives
- adopting and extending techniques and results from the baseline econometrics courses to the case of time series related theoretical and empirical problems
Expected Learning Outcomes
- students will be able to statistically describe and analyze various dynamic economic data coming in the form of time series
- construct and analyze models of the corresponding economic processes
- construct relevant predictions of the data
Course Contents
- Inroduction to the courseThe difference between time series and random samples. The difference between time series econometrics and cross-sectional econometrics. Opportunities and goals of time series econometrics. Examples of time series in economic life.
- The topics according to the on-line course “Macroeconomic Forecasting” schedule and content
- Exam preparation
Bibliography
Recommended Core Bibliography
- Bell, W. R., Holan, S. H., & McElroy, T. (2012). Economic Time Series : Modeling and Seasonality. Boca Raton, FL: Chapman and Hall/CRC. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=445858
Recommended Additional Bibliography
- Tsay, R. S. (2010). Analysis of Financial Time Series (Vol. 3rd ed). Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=334288