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 | Emmanouil Trachanas |
| Common | Yes |
| Status | Active |
| Course ID | 100001476 |
Programme of Study: UPS School of Economics (2013-today)
Registered students: 781
| Orientation | Attendance Type | Semester | Year | ECTS |
|---|---|---|---|---|
| ECONOMICS | Compulsory Course belonging to the selected specialization (Compulsory Specialization Course) | 5 | 3 | 6 |
| BUSINESS ADMINISTRATION | Compulsory Course belonging to the selected specialization (Compulsory Specialization Course) | 5 | 3 | 6 |
| Academic Year | 2024 – 2025 |
| Class Period | Winter |
| Faculty Instructors |
|
| Weekly Hours | 4 |
| Class ID | 600260958
|
Course Type 2021
General Foundation
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/1/600260958
Erasmus
The course is also offered to exchange programme students.
Language of Instruction
- Greek (Instruction, Examination)
Learning Outcomes
• The student is acquainted with advanced econometric modelling concepts.
• The student learns how to apply high-level statistical tests and more complex techniques for econometric data analysis.
• The student receives a good training on the analysis of real economic data through state-of-the-art econometric packages.
• 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 in an interdisciplinary team
- Generate new research ideas
- Advance free, creative and causative thinking
Course Content (Syllabus)
• Specialized criteria and tests: Criteria for testing linear restrictions and testing the statistical significance of coefficients, LR, Wald, LM, criteria for testing the stability of the coefficients of a model (CUSUM, CUSUMSQ), specification error tests (RESET test, linearity test), model selection criteria (Akaike, Schwarz, Amemiya), other criteria (Jarque-Bera test)
• Nonlinear models: Cobb-Douglas production function
• Systems of interdependent stochastic equations: The concept of interdependence, structural and reduced form, system identification, two-stage least squares (2SLS) method, first-order dynamic systems, etc.
• Seemingly unrelated regression (SUR) models
• Alternative estimation methods: Maximum likelihood (ML) method, Generalized Least Squares (GLS), Restricted Least Squares (RLS), Method of Instrumental Variables (IV)
• ARCH and GARCH models
• Logit and probit models
• Distributed Lag Models (DLM)
• Topics from time series analysis: Spurious regression, stationarity, white noise, random walk, unit root tests, cointegration, cointegration tests, VAR models, error correction models (ECM, ECVAR), Granger causality, tests for detecting Granger causality
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
Course Organization
| Activities | Workload | ECTS | Individual | Teamwork | Erasmus |
|---|---|---|---|---|---|
| Lectures | 110 | 3.9 | ✓ | ||
| Exams | 58 | 2.1 | ✓ | ✓ | |
| Total | 168 | 6 |
Student Assessment
Student Assessment methods
- Written Exam with Multiple Choice Questions (Summative)
- Written Exam with Short Answer Questions (Summative)
- Written Exam with Extended Answer Questions (Summative)
- Written Exam with Problem Solving (Summative)
Bibliography
Course Bibliography (Eudoxus)
Κάτος, Α. (2004) Οικονομετρία: Θεωρία και Εφαρμογές. Εκδόσεις Ζυγός.
Κατρακυλίδης, Κ. και Ταμπάκης, Ν. (2011) Εισαγωγή στην Οικονομετρία: Ασκήσεις. Εκδόσεις Ζυγός.
Last Update
17-09-2025
