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: 840
| 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 | 2025 – 2026 |
| Class Period | Winter |
| Faculty Instructors | |
| Weekly Hours | 4 |
| Class ID | 600289406
|
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/1/600289406
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 and methodologies, learns how to apply high-level econometric tests and more complex techniques for econometric data analysis, is trained in the analysis of real data using modern econometric software, learns how to evaluate and interpret the results of econometric analysis.
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.
Last Update
06-10-2025
