8306-HS2021-0-Time Series Analysis II





Root number 8306
Semester HS2021
Type of course Lecture
Allocation to subject Economics
Type of exam Written exam
Title Time Series Analysis II
Description This course provides an introduction to modern time series econometrics. The first part of the course deals with univariate time series processes. but the main emphasis is on the multivariate case. In particular, we study the estimation, interpretation, and identification of VAR models. The analysis starts from a stationary context, which is then extended to a non-stationary one including cointegration analysis. Finally, the course also examines factor models. Every second week, exercises in the computer lab complement the lectures with empirical applications.

Readings: We do not follow a single textbook during the whole semester but will provide specific references for each part of the course. For the multivariate part the main reference is Kilian and Lütkepohl (2017) "Structural vector autoregressive analysis". A preliminary version of this book is available at the website of Lutz Kilian.

Language: English
Credits: 3 SWS / 4.5 ECTS
Prerequisites: Econometrics II is recommended

Evaluation: written exam in English plus mandatory exercises

Lecture: Thursday, 10:15 - 12:00h, A-122, UniS
office hours: Mondays 09.30 - 11.30 h



Exercises with assistant: Martina Pons (martina.pons@vwi.unibe.ch),
Friday, 14:15 - 16:00h, every two weeks on 1.10. / 08.10. / 22.10 / 12.11. / 26.11. / 10.12.2021, A022 UniS

1st exam: Thursday, 16.12.2021, 10.15 - 12.00 h, PC Pool A322, UniS
2nd exam: Thursday, 17.02.2022, 10.15 - 12.00 h *** online *** details will be found on ILIAS
ILIAS-Link (Learning resource for course) No registration/deregistration in CTS (Admission in ILIAS possible). ILIAS
Link to another web site
Lecturers Prof. Dr. Blaise Stéphane MellyDepartment of Economics 
ECTS 4.5
Recognition as optional course possible No
Grading 1 to 6
 
Dates Thursday 10:15-12:00 Weekly
Friday 14:15-16:00 Weekly
Friday 8/10/2021 14:15-16:00
Friday 8/10/2021 14:15-16:00
Friday 22/10/2021 14:15-16:00
Friday 22/10/2021 14:15-16:00
Thursday 17/2/2022 10:15-12:00
 
Rooms Hörraum A -122, UniS
Hörraum A 022, UniS
 
Students please consult the detailed view for complete information on dates, rooms and planned podcasts.