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Root number
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8306 |
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Semester
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HS2023 |
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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 |
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. The most important references are Hansen (2022) "Econometrics" and Kilian and Lütkepohl (2017) "Structural vector autoregressive analysis". Both books are available on the webpage of their authors.
Language: English
Credits: 3 SWS / 4.5 ECTS
Prerequisites: Econometrics II is recommended
Lecture: Thursdays, 10.15-12.00hrs, A027, UniS
office hours: Mondays 09.30 - 11.30 h
Exercises with assistant: Marc Schranz (marc.schranz@unibe.ch), 212, H4
*** exercises start at 08.30 hrs ***
1st exam: Thursday, 21.12.2023, 10.15-12.00hrs (105 min), A027, UniS
2nd exam: Thursday, 15.02.2024, 10.15-12.00hrs (105 min), 114, H4 |
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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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Friday 08:15-10:00 Fortnightly
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Friday 8/12/2023 08:15-10:00
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Thursday 15/2/2024 10:15-12:00
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| Rooms |
Seminarraum 212, Hauptgebäude H4
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Seminarraum A 027, UniS
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| External rooms |
114, H4
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| Students please consult the detailed view for complete information on dates, rooms and planned podcasts. |
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