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Root number
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8306 |
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Semester
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HS2024 |
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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 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, 105, H4
office hours: Mondays 09.30 - 11.30 h
Exercises with assistant: Nina Dorta (nina.dorta@unibe.ch)
Thursdays, 14.15 - 16.00 hrs, bi-weekly, A024, UniS
1st exam: Thursday, 19. December 2024, 10.15-12.00 (105 min), 105, H4
2nd exam: Thursday, 13. February, 2025, 10.15-12.00hrs (105 min), 120, 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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Thursday 14:15-16:00 Fortnightly
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Thursday 24/10/2024 14:15-16:00
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Thursday 31/10/2024 14:15-16:00
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Thursday 7/11/2024 14:15-16:00
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Thursday 21/11/2024 14:15-16:00
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Thursday 5/12/2024 14:15-16:00
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Thursday 13/2/2025 10:15-12:00
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| Rooms |
Seminarraum 105, Hauptgebäude H4
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Seminarraum A 024, UniS
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| External rooms |
120, H4
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| Students please consult the detailed view for complete information on dates, rooms and planned podcasts. |
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