Course: Applied Time Series Analysis and Forecasting Techniques (5202-342)

Persons:

• Prof. Dr. Robert Jung (verantwortlich)

Type of Course:

lecture with exercise

In-Class Hours Per Week:

3

Contents:

The course provides an overview of the statistical and econometrical analysis of time series data. Covered are the classical ARMA model for univariate time series data and the related forecasting techniques. Besides an extension of the approach on multivariate time series, dynamic linear models and their correct inference are also discussed. An outlook on the handling of nonstationarity and cointegration completes the course.

Literature:

Gonzalez-Rivera, G. (2013): Forecasting for Economics and Business. Pearson.
Wooldridge, J. (2013): Introductory Econometrics. A Modern Approach. South-Western. 5th edition.

Location:

Hohenheim

Module:

• 5202-350 Advanced Module Statistics & Econometrics (semi-elective)