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This entry is from Summer semester 2021 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, workload |
, |
Credit points, formal requirements |
6 CP Course requirement(s): Examination type: Written examination |
Language, Grading |
,The grading is done with 0 to 15 points according to the examination regulations for the degree program M.Sc. Business Administration. |
Duration, frequency |
, |
Person in charge of the module's outline |
Contents
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.
Prerequisites
None.
Applicability
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 Summer semester 2021. 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:
- Winter 2016/17 (no corresponding element)
- Summer 2018
- Winter 2018/19
- Winter 2019/20
- Winter 2020/21
- Summer 2021
- Winter 2021/22
- Winter 2022/23
- Winter 2023/24 (no corresponding element)
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.