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This entry is from Winter semester 2020/21 and might be obsolete. No current equivalent could be found.

Econometrics of Time Series
(dt. Zeitreihen-Ökonometrie)

Level, degree of commitment Specialization module, compulsory elective module
Forms of teaching and learning,
Credit points,
formal requirements
6 CP
Course requirement(s):
Examination type: Written examination
The grading is done with 0 to 15 points according to the examination regulations for the degree program M.Sc. Business Administration.
Person in charge of the module's outline


Qualification Goals

The module is designed to provide participants with an overview of basic models and methods for analyzing time series data and to enable them to perform such analyses using software such as Stata or Eviews.

The module is divided into three phases of roughly equal length. The first part recapitulates the basic econometric model and its estimation using cross-sectional data. Emphasis is placed on interpretation and critical questioning of the estimation, flexibility in model specification and statistical tests, and endogeneity issues.

The second part covers classical topics of time series analysis in the context of ARMA models, such as residual autocorrelation, stationarity, and unit root tests.

Finally, the third part deals with advanced topics in time series econometrics, such as ARCH-GARCH models, vector autoregressive models, and cointegration theory.




Module imported from M.Sc. Business Administration.

When studying M.Sc. Business Mathematics, this module can be attended in the study area Applied Modules in Business Mathematics.

Recommended Reading

(not specified)

Please note:

This page describes a module according to the latest valid module guide in Winter semester 2020/21. Most rules valid for a module are not covered by the examination regulations and can therefore be updated on a semesterly basis. The following versions are available in the online module guide:

The module guide contains all modules, independent of the current event offer. Please compare the current course catalogue in Marvin.

The information in this online module guide was created automatically. Legally binding is only the information in the examination regulations (Prüfungsordnung). If you notice any discrepancies or errors, we would be grateful for any advice.