TIME SERIES ANALYSIS
| Title | ΑΝΑΛΥΣΗ ΧΡΟΝΟΣΕΙΡΩΝ / TIME SERIES ANALYSIS |
| Code | 12ΥΕ01 |
| Faculty | Social and Economic Sciences |
| School | Economics |
| Cycle / Level | 1st / Undergraduate |
| Teaching Period | Winter |
| Coordinator | Konstantinos Katrakylidis |
| Common | Yes |
| Status | Active |
| Course ID | 100001476 |
Programme of Study: UPS School of Economics (2013-today)
Registered students: 720
| Orientation | Attendance Type | Semester | Year | ECTS |
|---|---|---|---|---|
| OIKONOMIAS | Compulsory Course belonging to the selected specialization (Compulsory Specialization Course) | 5 | 3 | 6 |
| DIOIKĪSĪ EPICΗEIRĪSEŌN | Compulsory Course belonging to the selected specialization (Compulsory Specialization Course) | 5 | 3 | 6 |
| Academic Year | 2018 – 2019 |
| Class Period | Winter |
| Faculty Instructors | |
| Class ID | 600123009
|
Class Schedule
| Building | Αμφιθέατρο ΝΟΕ |
| Floor | Ισόγειο |
| Hall | ΜΙΚΡΟ ΑΜΦΙΘΕΑΤΡΟ Β (154) |
| Calendar | Δευτέρα 18:00 έως 20:00 |
| Building | Αμφιθέατρο ΝΟΕ |
| Floor | Όροφος 1 |
| Hall | ΜΕΓΑΛΟ ΑΜΦΙΘΕΑΤΡΟ (A) (158) |
| Calendar | Δευτέρα 20:00 έως 22:00 |
| Building | Αμφιθέατρο ΝΟΕ |
| Floor | Όροφος 1 |
| Hall | ΑΙΘΟΥΣΑ 1 (159) |
| Calendar | Τετάρτη 18:59 έως 22:59 |
Course Type 2016-2020
- Background
Course Type 2011-2015
General Foundation
Mode of Delivery
- Face to face
Digital Course Content
- e-Study Guide https://qa.auth.gr/en/class/1/600123009
- eLearning (Moodle): https://elearning.auth.gr/course/view.php?id=5384
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
| Activities | Workload | ECTS | Individual | Teamwork | Erasmus |
|---|---|---|---|---|---|
| Lectures | 130 | 4.6 | ✓ | ||
| Laboratory Work | 20 | 0.7 | ✓ | ✓ | |
| Project | 20 | 0.7 | ✓ | ✓ | |
| Total | 170 | 6.1 |
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
