Course: Advanced topics in Econometrics II (5211-814)
Note: Last updated September 2019.
Current module catalog in HohCampus.
- Persons:
-
- Prof. Dr. Robert Jung (verantwortlich)
- Type of Course:
- lecture with exercise
- In-Class Hours Per Week:
- 3
- Contents:
-
The course examines linear and nonlinear time series models and statistical techniques used to analyze data in finance and economics.
- Literature:
-
Cochrane, J.H. (2005) Time Series for Macroeconomics and Finance. Manuscript. University of Chicago.
Martin, V.; Hurn, S. and Harris, D. (2013) Econometric Modelling with Time Series. Cambridge UP.
Tsay, R. S. (2014) Multivariate Time Series Analysis. Wiley
A more specific reading list will be provided at the beginning of the course.
- Location:
- Hohenheim
- Remarks:
-
The course assumes a working knowledge in intermediate econometrics at the level of Wooldridge (2013) Introductory Econometrics. A Modern Approach. South-Western
- Module:
-
- 5211-810 Methods I (semi-elective)
- 5211-830 Field Module (semi-elective)
- 5211-840 Elective Module (semi-elective)
- 5211-820 Methods II (semi-elective)
- 5105-830 Field Module (semi-elective)