Inhalt
| Kommentar |
Classical components models; stochastic processes; stationarity; ARIMA processes, GARCH models; specification, estimation and validation of models; forecasting; unit root tests; multivariate extensions: VAR processes, causality and impulse response analysis, cointegrated processes. In the tutorials the time series methods are applied to empirical data. |
| Literatur |
Hamilton, D.J. (1994). Time Series Analysis, Princeton University Press.
Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis, Springer Verlag, Heidelberg |
| Bemerkung |
StO/PO MA 2005 - 2010: 6 LP, Modul: "Time Series Analysis"
StO/PO MA 2016: 6 LP, Modul: "Time Series Analysis"
StO/PO MEMS 2016: 6 LP, Modul: "Time Series Analysis", Major: Quantitative Methods |
| Prüfung |
Written exam (90 min)
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