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, 2005Place: 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.
I Basic univariate time series analysis
II Vector autoregressive models
III State space modeling
IV Frequency domain analysis
Exercise Sheet 1
Exercise Sheet 2
Exercise Sheet 3
Exercise Sheet 4
Nordic Eviews File (save first and open then from Eviews)
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.