Opetus

Nimi Op Opiskelumuoto Aika Paikkakunta Järjestäjä
Time series analysis II 5 Cr Luentokurssi 13.1.2020 - 28.2.2020
Nimi Op Opiskelumuoto Aika Paikkakunta Järjestäjä
Time series analysis II 5 Cr Luentokurssi 31.10.2018 - 13.12.2018

Kohderyhmä

Optional course.

Master's Programme in Mathematics and Statistics is responsible for the course.

The course belongs to the Statistics and Social statistics module.

The course is available to students from other degree programmes.

Edeltävät opinnot tai edeltävä osaaminen

Bachelor studies in statistics

Ajoitus

Recommended time/stage of studies for completion: 1. or 2. year

Term/teaching period when the course will be offered: varying

Sisältö

The vector autoregressive (VAR) model; specification, estimation, hypothesis testing and forecasting

Suoritustavat

Exercises 30%, Course work 30%, and Exam 40%

Oppimista tukevat aktiviteetit ja opetusmenetelmät

Weekly reading group-exercise session

Oppimateriaali

Lecture notes by Pentti Saikkonen translated to English by Heikki Kauppi

Further reading

Ghysels, E., Marcellino, M.: Applied Economic Forecasting Using Time Series Methods, chapter 6 (Ebook).

Krätzig, M., Lütkepohl, H., Phillips, P.C.B: Applied time series econometrics, section 3 (EBook)

Lütkepohl, H.: Vector Autoregressive Models, EUI Working Papers ECO 2011/30. (pdf available)

Tsay, R. S.: Multivariate Time Series Analysis : With R and Financial Applications, chapter 2, (Ebook)

Arviointimenetelmät ja -kriteerit

Exercises, Course work and Exam, Course will be graded with grades 1-5

Toteutus

Exam, other methods will be described later