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Root number
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8306 |
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Semester
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HS2025 |
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Type of course
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Lecture |
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Allocation to subject
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Economics |
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Type of exam
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Written exam |
| Title |
Time Series Analysis II |
| Description |
*** IMPORTANT ***
For the most updated administrative course information (date changes, room changes etc) please always refer to the KSL page only and not to the Info page in ILIAS – the ILIAS infopage will not be updated!
This course introduces modern time series econometrics, catering to both univariate and multivariate time series processes. The initial segment of the course focuses on univariate time series, establishing foundational concepts before delving into the multivariate case, where the primary emphasis lies. Students will engage especially with Vector Autoregression (VAR) models, exploring their estimation, interpretation, and identification. The course begins with analyzing stationary processes and progresses to non-stationary contexts, incorporating cointegration analysis to address long-run relationships among variables. Additionally, the course covers advanced topics such as factor models, providing a broad perspective on contemporary econometric methods.
Hands-on computer exercises reinforce theoretical knowledge with practical skills every second week, allowing students to apply empirical techniques and engage in real-world econometric analysis.
Readings: We do not follow a single textbook during the semester but will provide specific references for each part of the course. The most important reference is Hansen's (2022) "Econometrics".
Language: English
Credits: 3 SWS / 4.5 ECTS
Prerequisites: Econometrics II is recommended
Lecture: Thursdays, 10.15-12.00hrs, tba
Exercises with assistant: Miguel Salema (miguel.salema@unibe.ch)
Thursdays, 14.15 - 16.00 hrs, bi-weekly, tba
1st exam: Thursday, 18. December 2025, 10.15-12.00hrs (105 min), tba
2nd exam: Thursday, 12. February, 2026, 10.15-12.00hrs (105 min), tba |
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ILIAS-Link (Learning resource for course)
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No registration/deregistration in CTS (Admission in ILIAS possible).
ILIAS
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Link to another web site
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| Lecturers |
Prof. Dr.
Blaise Stéphane Melly, Department of Economics ✉
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ECTS
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4.5 |
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Recognition as optional course possible
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No |
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Grading
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1 to 6 |
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| Dates |
Thursday 10:15-12:00 Weekly
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Thursday 2/10/2025 14:15-16:00
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Thursday 9/10/2025 14:15-16:00
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Thursday 23/10/2025 14:15-16:00
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Thursday 6/11/2025 14:15-16:00
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Thursday 27/11/2025 14:15-16:00
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Thursday 4/12/2025 14:15-16:00
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Thursday 12/2/2026 10:15-12:00
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Rooms
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| Students please consult the detailed view for complete information on dates, rooms and planned podcasts. |
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