Times Series Econometrics

2024/2025

Учебный год

ENG

Обучение ведется на английском языке

3

Кредиты

Кто читает:

Департамент экономики

Статус:

Курс обязательный

Когда читается:

2-й курс, 2 модуль

Преподаватели

Заздравных Евгений Александрович

Тараскина Елена Владимировна

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

• 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

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

Course Contents

• 1. Introduction
• 2. ARMA process
• 3. Unit root tests
• 4. Seasonality in ARIMA model
• 5. ARIMAX and SARIMAX models

Assessment Elements

• Midterm exam
• Final exam

Interim Assessment

• 2024/2025 2nd module
  0.6 * Final exam + 0.4 * Midterm exam

Bibliography

Recommended Core Bibliography

• Makridakis, S., Wheelwright, S. C., & Hyndman, R. J. (1998). Forecasting: Methods and Applications. Cyprus, Europe: John Wiley & Sons, Inc. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.F848CE7

Recommended Additional Bibliography

• Hamilton, J. D. . (DE-588)122825950, (DE-576)271889950. (1994). Time series analysis / James D. Hamilton. Princeton, NJ: Princeton Univ. Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edswao&AN=edswao.038453134

Authors

• BRODSKAYA NATALYA NIKOLAEVNA