Seminar - Analyse Ökonomischer Zeitreihen

Seminar “Analysis of Economic Time Series” (Prüfungsnummer 3061)

Veranstaltung für den Bachelor (5 ECTS)

 

The subject of time series analysis is to study statistical methods regarding research and modeling of technological, financial, and economic processes. These processes of arbitrary nature are represented by statistics and experimental data in the form of time series.

 

Nowadays newsworthy issues of time series analysis are the research and the interpretation of extensive data sets especially economic time series. This problem attracted the attention of economists and statisticians for many years. Further, these subjects were extensively discussed during the past decade. Accordingly, the analysis of economic time series is of great relevance for modern economic development.

 

Students should get familiar with statistical methods that are used to analyze economic time series. They learn how these methods can be successfully applied to financial data using statistical software packages like R and SAS. The seminar is given in English.

 

Eventually, students have to write a seminar paper and they must present their results.

The first meeting will take place on October 18, 2012 at 11.15 am in HG 104.

 

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The deadline for the seminar paper is February 11, 2013.

Binding registration is possible from October 18, 2012 until December 01, 2012

(garthoff@europa-uni.de).

The presentations will take place on February 18, 2013.

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Course material can be found on our e-learning platform: http://moodle.europa-uni.de .

 

Topics for seminar papers (You can also propose own topics/ideas.) :

1. Component Models
   
2. Multiple Linear Regression
   
3. Properties of Stationary Time Series
   
4. Autoregressive (AR) Processes
   
5. Moving Average (MA) Processes
   
6. Autoregressive Integrated Moving Average (ARIMA) Processes
   
7. Autoregressive Conditional Heteroscedasticity (ARCH) Models
   
8. Generalized Autoregressive Conditional Heteroscedasticity (GARCH) Models
   
9. Integrated GARCH Processes
   
10. GARCH-in-Mean Models
    
11. Exponential GARCH Models
    
12. Forcasting Stationary Time Series
    

Literature:

1. P.J. Brockwell and R.A. Davis (2002): Introduction to time series and forecasting. 2nd ed. New York. Berlin. Springer.
   
2. J. Hamilton (1994). Time series analysis. New Jersey. Princeton University Press.
   
3. A. Harvey (1990): The econometric analysis of time series. 2nd ed. New York. Allan.
   
4. D. Ruppert (2004): Statistics and finance. New York. Springer.
   
5. R. Schlittgen (2012): Angewandte Zeitreihenanalyse mit R. 2nd ed. München. Oldenbourg
   
6. R.S. Tsay (2002): Analysis of financial time series. New York. Wiley.