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351-0571-00L 2 Credits DR , MSC D-USYS , D-BAUG , D-MAVT , D-INFK , D-MTEC , D-MATH , D-BIOL , D-GESS , D-ITET , D-ARCH , D-CHAB
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Applied time series econometrics

Angewandte Zeitreihenanalyse

Lecturers & Examiners: PD Dr. Christian Müller
VVZ CR n/a

Last Updated: 2026-02-05 15:14:55

Abstract

In this seminar students discuss recent contributions to the literature of time setries econometrics. They provide an essay on a practical or methodological problem preliminary in the field of macroeconomics. Further criteria for the evaluation are a oral presentation of the analysis, participation in the discussions and in the seminar's forecasting competition.

Objective

The object of this seminar is to conduct a small empirical analysis based on time series econometrics.

Resources

Literature

Banerjee, A., Cockerell, L. and Russell, B. (2001). An I(2) analysis of inflation and the markup, Journal of Applied Econometrics 16: 221 – 40. Ericsson, N. R., Hendry, D. F. and Mizon, G. E. (1998). Exogeneity, Cointegration, and Economic Policy Analysis, Journal of Business and Economic Statistics 16(4): 370 – 387. Friedman, M. (1970). Comment on Tobin, The Quarterly Journal of Economics 84: 318 –– 327. Friedman, M. and Schwartz, A. J. (n.d.). Alternative Approaches to Analyzing Economic Data. Gaab, W., Heilemann, U. and Wolters, J. (eds) (2004). Arbeiten mit ökonometrischen Modellen, Physica-Verlag, Heidelberg. Hamilton, J. D. (1994). Time Series Analysis, 1st edn, Princeton University Press, Princeton, New Jersey USA. Hendry, D. F. and Ericsson, N. R. (1991). An econometric analysis of U.K. Money Demand in monetary trends in the united states and the united kingdom by Milton Friedman and Anna J. Schwartz, American Economic Review 81(1): 8 – 38. Hendry, D. F. and Krolzig, H. (2004). We ran one regression, Oxford Bulletin of Economics and Statistics 66(5): 799 – 810. Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis, Springer-Verlag, Berlin. Lütkepohl, H. (2007). General-to-specific or specific-to-general modelling? an opinion on current econometric terminology, Journal of Econometrics 136: 319 – 24. Lütkepohl, H. and Krätzig, M. (eds) (2004). Applied Time Series Econometrics, Cambridge University Press, Cambridge. Minford, P., Perugini, F. and Srinivasan, N. (2002). Are Interest Rate Regressions Evidence for a Taylor Rule?, Economics Letters 76: 145 – 150.

General Information

Language
German
Levels
DR , MSC
Frequency
Yearly recurring

Examination

Type
graded semester performance
Vortrag und Seminararbeit

Course Components

Type Title Time & Place Hours
seminar Angewandte Zeitreihenanalyse
  • Tue 10:15-12:00 (CAB G 59)
2 h weekly

Offered In