|
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 Melly, Department 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. |