Course: Lectures in Advanced Econometrics (5202-711)

Persons:

• Prof. Dr. Gerhard Wagenhals (verantwortlich)

Type of Course:

lecture

In-Class Hours Per Week:

2

Contents:

1. Introduction to Stochastic Processes
2. Modelling Univariate Time Series: ARMA Models
3. ARIMA(p,d,q) and SARIMA Processes
4. Structural Vector Autoregressive Systems
5. Cointegration and Vector Error Correction Models
6. ARCH and GARCH Models

Literature:

Hamilton, J.D. (1994): Time Series Analysis

Enders, W. (1995): Applied Econometric Time Series.

Hayashi, F. (2000): Econometrics.

Kichgässner, G. and Wolters, J. (2007): Introduction to Modern Time Series Analysis.

Lütkepohl, H. and Krätzig, M (2004): Applied Time Series Econometrics

Location:

Hohenheim

Module:

• 5202-710 Advanced Econometrics (compulsory)