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Econometrics 2: Statistical Analysis of Econometric Time Series (StatØ2)
Provider: Faculty of Science

Activity no.: 5611-21-07-31 
Enrollment deadline: 06/09/2021
PlaceDepartment of Mathematical Sciences
Universitetsparken 5, 2100 København Ø
Date and time06.09.2021, at: 00:00 - 14.11.2021, at: 16:00
Regular seats50
ECTS credits7.50
Contact personNina Weisse    E-mail address: weisse@math.ku.dk
Enrolment Handling/Course OrganiserThomas Valentin Mikosch    E-mail address: mikosch@math.ku.dk
Teaching languageEnglish partially in English
Semester/BlockBlock 1
Scheme groupB
Exam formWritten examination
Exam formWritten examination
Exam detailsWritten examination, 3 hours under invigilation Exam registration requirements: Two mandatory written assignments (mid and final term tests) must be handed in and approved. All aids allowed NB: If the exam is held at the ITX, the ITX will provide you with a computer. Private computer, tablet or mobile phone CANNOT be brought along to the exam. Books and notes should be brought on paper or saved on a USB key.
Grading scale7 point grading scale. For PhD students: Passed / Not Passed
Course workload
Course workload categoryHours
Lectures35.00
Theoretical exercises21.00
Project work25.00
Preparation90.00
Exam35.00
Sum206.00
Content
The course aims at introducing and analysing stochastic models and statistical procedures for time-dependent observations. Examples of such data are interest rates, stock prices and composite indices. Special attention will be given to the autoregressive (AR) model and its multivariate version (VAR), including unit root inference. A brief introdution to related non-linear models (e.g. the ARCH-model) will be given. The probabilistic and mathematical tools for analysing the models, as well as estimation and test procedures will be presented. Topics from probability theory include martingales, Markov chains, asymptotic stability, stationarity, mixing, as well as the law of large number and central limit theorem for time-dependent processes. Using the methods presented in the course, the students will solve theoretical econometric problems and use statistical software to analyse econometric time series.

Learning outcome
Knowledge: The following topics will be covered in the course. Dependence and correlation, stationary and mixing stochastic processes, the law of large numbers for dependent sequences, martingales, central limit theorem for martingales, Markov processes, asymptotic stability, linear processes, uni- and multivariate autoregressive processes, estimation and asymptotic statistical theory for time series models, tests for misspecification of time series models, non-linear time series models, autoregressive processes with unit roots.

Skills: After the course, the student will be able to apply standard time series models used for the analysis of macro-econometric data, to use statistical software for time series, to apply key concepts and methods from the theory of stochastic processes (including martingales, law of large number and central limit theorem) to statistically analyse time series, and to formulate and apply likelihood-based tests for linear hypotheses and specification tests for time series models.

Competences: After the course, the student will be able to statistically analyse macro-economic time series at an advanced level, to make predictions of future values of the series, to theoretically analyse uni- and multivariate time series, and to develop statistical methodology for such models.

Literature
See Absalon.

Teaching and learning methods
5 hours of lectures and 3 hours of exercises per week for 7 weeks.

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