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Applied time series analysis
Angewandte Zeitreihenanalyse
Last Updated: 2026-02-05 15:25:11
Abstract
In this seminar students discuss recent contributions to the literature of time setries econometrics. They learn to practically apply theoretical concepts of time seris analysis. The main field of application will be macroeconomic and partly methodolical problems. Students will primarily use the free software package JMulti.
Objective
The object of this seminar is to enable students to conduct empirical analyses based on time series econometrics.
Content
Seminar participants learn to conduct an empirical analysis of an economic problem. To that aim students we go through all the necessary steps. Starting with the economic model we derive ist statistical counterpart, discuss the choice of data, formulation of hypothesis and, finally, inference. Whenever necessary, the theoretical background will be strenghtened and practical tips exhcanged. Next to text books, and lecture notes, we will use recent contributions to the time series literature for a critical discussion. The practical applications will be based on the free software package JMulti. The semiar is thought to enable students to conduct a self-contained time series analysis. It is not a substitute for an introduction into the topic. Seminar marks will be based on oral examinations at the end of the semester. Students are free to submit a seminar paper with an application of time series analysis. They may either chose the topic or select one from a list to be published on the course homepage.
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
This course is available as English on Demand. We will decide at the first meeting what language to use.
|
|
2 h weekly |
Offered In
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Management, Technology and Economics Master ("Students meet Tutors" Welcome and Introduction to MSc MTEC ETH Tuesday, 16th september 08, 9-12h, room: HG G 60)