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# Time Series

2021/2022
Учебный год
ENG
Обучение ведется на английском языке
3
Кредиты
Статус:
Курс по выбору
Когда читается:
3-й курс, 3 модуль

#### Преподаватели

Лозина Полина Сергеевна

Пырлик Владимир Николаевич

### Course Syllabus

#### Abstract

Time series analysis is one of the natural extensions of Econometrics I and other corresponding econometrics related courses. The focus of the course is adopting and extending techniques and results from the baseline econometrics courses to the case of time series related theoretical and empirical problems

#### Learning Objectives

• 1. supposed to provide the students with a set of tools that are useful for both theoretical and empirical modeling of dynamic economic data coming in the form of both univariate and multivariate time series 2. content covers (but not limited to) an overview of the crucial theoretical results of contemporary time series econometrics and of the approaches towards empirical application of these results to empirical data and tasks, including estimation of dynamic economic models and practical forecasting.
• supposed to provide the students with a set of tools that are useful for both theoretical and empirical modeling of dynamic economic data coming in the form of both univariate and multivariate time series
• content covers (but not limited to) an overview of the crucial theoretical results of contemporary time series econometrics and of the approaches towards empirical application of these results to empirical data and tasks, including estimation of dynamic economic models and practical forecasting.

#### Expected Learning Outcomes

• construct and analyze models of the corresponding economic processes
• construct relevant predictions of the data
• students will be able to statistically describe and analyze various dynamic economic data coming in the form of time series

#### Course Contents

• Inroduction to the course
• Stationarity
• Linear regression for stationary and ergodic time series
• Forecasting a single time series.
• Stationary linear regression

• Quiz
• Home work
• Exam

#### Interim Assessment

• 2021/2022 3rd module
0.2 * Quiz + 0.4 * Home work + 0.4 * Exam

#### Recommended Core Bibliography

• Bell, W. R., Holan, S. H., & McElroy, T. (2012). Economic Time Series : Modeling and Seasonality. Boca Raton, FL: Chapman and Hall/CRC. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=445858
• Tsay, R. S. (2010). Analysis of Financial Time Series (Vol. 3rd ed). Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=334288

#### Authors

• LOZINA POLINA SERGEEVNA