Time Series Econometrics

Prof. Dr. Jörg Breitung
Institute of Econometrics
Summer term 2012
Time Series Econometrics
1. Univariate time series model
1.1. Basic concepts
1.2. Seasonality and trends
1.3. ARMA models
1.4. Structural time series models
1.5. GARCH models
1.6. Lag order selection
1.7. Unit root tests
1.8. Forecasting
2. Dynamic analysis of single equation models
2.1. Autoregressive distributed lag (ADL) models
2.2. IV/GMM estimation
2.3. Estimation of short and long run effects
2.4. Cointegration
2.5. Spezifikationstests
3. Dynamic systems
3.1. Vector Autoregressive (VAR) models
3.2. Granger Causality
3.3. Lag order selection and specification tests
3.4. Structural VAR models
4. Analysis of cointegrated systems
4.1. Introduction to the asymptotic theory of nonstationary time series
4.2. Cointegrated VAR models
4.3. Hypothesis tests
4.4. Weak exogeneity
Textbooks
Hamilton, J. (1994), Time Series Analysis, Princeton University Press.
Lütkepohl, H. (2005), New Introduction to Multiple Time Series Analysis, Berlin:
Springer.
Lütkepohl, H. and M. Krätzig (2004), Applied Time Series Econometrics, Cambridge
University Press.
Enders, W. (2004), Applied Econometric Time Series, 2nd ed., Wiley.

Harris, R. and R. Sollis (2005) Applied Time Series Modelling and Forecasting, Wiley