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Applied time series econometrics
Angewandte Zeitreihenanalyse
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
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| seminar | Angewandte Zeitreihenanalyse |
|
2 h weekly |
Offered In
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Management, Technology and Economics Master ("Students meet Tutors" Welcome and Introduction to MSc MTEC ETH Monday, 24th september 07, 9-12h, room: HG G 60)