311097 Ökometrische Zeitreihenanalyse + Übungen (V) (WiSe 2001/2002)

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In der Vorlesung werden nach einem kurzem Überblick über Box-Jenkins-Verfahren zur Schätzung stationärer Zeitreihen folgende Methoden zur Analyse ökonomischer Zeitreihen behandelt:

  • ARCH und GARCH zur Modellierung der bedingten Varianz
  • Tests auf Trends und Einheitswurzeln
  • Vektorautoregressive Prozesse
  • Kointegration und Fehlerkorrekturmodelle

Bibliography

Enders, Econometric Applied Econometric Time Series
Schlittgen, Streitberg: Zeitreihenanalyse, Kapitel 1
Hamilton, Time Series Analysis

Teaching staff

Dates ( Calendar view )

Frequency Weekday Time Format / Place Period  
weekly Mi 9-12 T2-214

Subject assignments

Degree programme/academic programme Validity Variant Subdivision Status Semester LP  
Betriebswirtschaftslehre / Diplom (Enrollment until SoSe 2005) WP05; WP12; WP10 Wahl HS
Volkswirtschaftslehre / Diplom (Enrollment until SoSe 2005) WP05; WP10; WP12 Wahl HS
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Friday, December 11, 2015 
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lecture (V) / 2+1
Department
Faculty of Business Administration and Economics
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ECTS points
5
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ID
1015798