Code: TIL.304
credit units: 5 cu
Teachers: Researcher Bernd Pape (University of Vaasa) and Professor Johan Knif (Hanken, Swedish School of Economics and Business Administration, Vaasa)
Teaching: (English) Lectures 52 h, including demonstrations 12 h.
Period: January 26 to April 15, 2005
Place: Hanken (Vaasa) 26/01 - 25/02, University of Vaasa 09/03 - 15/04
Schedule: Wednesdays and Fridays 9-12h.
The first lecture will be on Wednesday, January 26th at Hanken in room 142.
For the detailed schedule, including rooms, click
here.
Requirements for the credit units: Exam.
Course objective: Provide the student sufficient skills to apply modern time series methods in analyzing economic time series.
Contents:
I Basic univariate time series analysis
II Vector autoregressive models
III State space modeling
IV Frequency domain analysis
Exercises:
Exercise Sheet 1
Exercise Sheet 2
Exercise Sheet 3
Exercise Sheet 4
Data:
Nordic Eviews File (save first and open then from Eviews)
Course literature:
Hamilton, J.D. (1994).
Time Series Analysis,
Princeton University Press, New Jersey.
Mills, T.C. (1999).
The Econometric Modelling of Financial Time Series, Second Edition,
Cambridge University Press, New York.
Additional reading:
Tsay, Ruey, S. (2002).
Analysis of
Financial Time Series, Wiley.
Alexander, Carol (2001).
Market Models. A Guide to Financial Data Analysis. Wiley.
Enders, Walter (1995). Applied Econometric Time Series: A Users Guide. Wiley.
See also
John Cochrane's excellent lecture text
Time Series for Macroeconomics and Finance (pdf).
Highly recommeded substance based book:
Cochrane, John (2001).
Asset Pricing.
Princeton University Press.