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Instructors: Prof. Dr. rer. pol. Jens Krüger
Event type:
Lecture & Exercise
Org-unit: Dept. 01 - Law and Economics
Displayed in timetable as:
vl_ZRA
Subject:
Crediting for:
Hours per week:
2
Language of instruction:
German
Min. | Max. participants:
- | -
Course Contents:
- Stationary stochastic processes
- AR, MA and ARMA processes
- Box-Jenkins approach
- Time series forecasting
- Vector autoregression
- Unit root tests
- Cointegration analysis
- GARCH processes
- Nonlinear time series models
Literature:
Enders, W. (2004): Applied Econometric Time Series: New York: Wiley.
Franses, P.H. (1998): Time Series Models for Business and Economic Forecasting. Cambridge (Mass.): Cambridge University Press.
Granger, C.W.J. & Teräsvirta, T. (1993): Modelling Nonlinear Economic Relationships. Oxford: Oxford University Press.
Hamilton, J.D. (1994): Time Series Analysis.Princeton: Princeton University Press.
Heij, C., De Boer, P., Franses, P.H., Kloek, T. & van Dijk, H.K. (2004): Econometric Methods with Applications in Business and Economics. Oxford: Oxford University Press.
Lütkepohl, H. (2006) : New Introduction to Multiple Time Series Analysis. New York: Springer.
Maddala, G.S. & Kim, I.-M. (1998): Unit Roots, Cointegration, and Structural Change. Cambrigde (Mass.): Cambridge University Press.
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