TIME SERIES ANALYSIS

Course Information
TitleΑΝΑΛΥΣΗ ΧΡΟΝΟΣΕΙΡΩΝ / TIME SERIES ANALYSIS
Code12ΥΕ01
FacultyEconomic and Political Sciences
SchoolEconomics
Cycle / Level1st / Undergraduate
Teaching PeriodWinter
CoordinatorKonstantinos Katrakylidis
CommonYes
StatusActive
Course ID100001476

Programme of Study: UPS School of Economics (2013-today)

Registered students: 2
OrientationAttendance TypeSemesterYearECTS
OIKONOMIASCompulsory Course belonging to the selected specialization (Compulsory Specialization Course)536
DIOIKĪSĪ EPICΗEIRĪSEŌNCompulsory Course belonging to the selected specialization (Compulsory Specialization Course)536

Class Information
Academic Year2016 – 2017
Class PeriodSpring
Faculty Instructors
Weekly Hours4
Class ID
600035614
Course Type 2016-2020
  • Background
Course Type 2011-2015
General Foundation
Mode of Delivery
  • Face to face
Erasmus
The course is also offered to exchange programme students.
Language of Instruction
  • Greek (Instruction, Examination)
Learning Outcomes
1. The student is acquainted with advanced econometric modelling concepts. 2. The student learns how to apply high-level statistical tests and more complex techniques for econometric data analysis. 3. The student receives a good training on the analysis of real economic data through state-of-the-art econometric packages. 4. The student learns how to analyze and interpret estimation results.
General Competences
  • Apply knowledge in practice
  • Retrieve, analyse and synthesise data and information, with the use of necessary technologies
  • Make decisions
  • Work autonomously
  • Work in an international context
  • Work in an interdisciplinary team
  • Generate new research ideas
  • Design and manage projects
Course Content (Syllabus)
Specialised econometric tests: • LR, Wald and LM tests for multiple and linear restrictions on the model coefficients • Coefficients' stability tests (CUSUM, CUSUMSQ) • Misspecification tests (the Ramsey's RESET test, nonlinearity tests) • Model selection criteria (Akaike, Amemiya, Schwarz) • Other goodness-of-fit criteria (the Jarque-Bera normality test) ARCH effects: basic concepts and diagnostic tests Alternative methods of model estimation: • the maximum likelihood method (ML) • the generalized least-squares (GLS) • the restricted least-squares (RLS) Nonlinear econometric models: the Cobb-Douglas production function The method of instrumental variables Distributed lag models Seemingly unrelated regression equations (SURE): definitions and estimation methods Simultaneous equation models (SUR): simultaneity bias, structural and reduced forms, model specification, the two-stage least squares (2SLS), first-order dynamic systems. Selected topics from time series analysis: • spurious regression • integrated time series, stationarity tests • co-integration, testing and specification, error-correction models, Granger causality, vector autoregressive (VAR) και error-correction vector autoregressive (ECVAR) models
Educational Material Types
  • Slide presentations
  • Book
Use of Information and Communication Technologies
Use of ICT
  • Use of ICT in Course Teaching
  • Use of ICT in Laboratory Teaching
  • Use of ICT in Communication with Students
Description
Time Series Analysis acts as a supplement to Econometrics (12YΔ01) and offers a higher-level training on practical aspects of econometric modelling. The students are acquainted with more advanced econometric concepts and techniques, such as distributed lag, seemingly unrelated equation, simultaneous equation, co-integration and error-correction models, and their application in the analysis of economic data.
Course Organization
ActivitiesWorkloadECTSIndividualTeamworkErasmus
Lectures1304.6
Laboratory Work200.7
Project200.7
Total1706.1
Student Assessment
Student Assessment methods
  • Written Exam with Multiple Choice Questions (Summative)
  • Written Exam with Problem Solving (Summative)
  • Labortatory Assignment (Summative)
Bibliography
Course Bibliography (Eudoxus)
1) Α. KATOΣ: ΟΙΚΟΝΟΜΕΤΡΙΑ-ΘΕΩΡΙΑ ΚΑΙ ΕΦΑΡΜΟΓΕΣ, ΕΚΔΟΣΕΙΣ ΖΥΓΟΣ 2) Κ. ΚΑΤΡΑΚΥΛΙΔΗΣ & Ν. ΤΑΜΠΑΚΗΣ: ΕΙΣΑΓΩΓΗ ΣΤΗΝ ΟΙΚΟΝΟΜΕΤΡΙΑ-ΑΣΚΗΣΕΙΣ, ΕΚΔΟΣΕΙΣ ΖΥΓΟΣ
Additional bibliography for study
1) Γ. XΡΗΣΤΟΥ: ΕΙΣΑΓΩΓΗ ΣΤΗΝ ΟΙΚΟΝΟΜΕΤΡΙΑ 2) D. GUJARATI & D.PORTER: ΟΙΚΟΝΟΜΕΤΡΙΑ, ΑΡΧΕΣ ΚΑΙ ΕΦΑΡΜΟΓΕΣ, ΕΚΔΟΣΕΙΣ ΤΖΙΟΛΑ
Last Update
21-03-2016