TÜRKÇE
ENGLISH
Information
| Unit | FACULTY OF ECONOMICS AND ADMINISTRATIVE SCIENCES |
| ECONOMETRICS PR. (ENGLISH) | |
| Code | ECMZ406 |
| Name | Time Series Models II |
| Term | 2017-2018 Academic Year |
| Semester | 8. Semester |
| Duration (T+A) | 3-0 (T-A) (17 Week) |
| ECTS | 4 ECTS |
| National Credit | 3 National Credit |
| Teaching Language | İngilizce |
| Level | Lisans Dersi |
| Type | Normal |
| Label | C Compulsory |
| Mode of study | Yüz Yüze Öğretim |
| Catalog Information Coordinator | Dr. Öğr. Üyesi FELA ÖZBEY |
| Course Instructor |
Dr. Öğr. Üyesi FELA ÖZBEY
(Bahar)
(A Group)
(Ins. in Charge)
|
Course Goal / Objective
The aim of this course is to give the students a good theoretical and empirical understanding of statistical methods used in multivariate time series analysis.
Course Content
This course involves the study of stochastic and deterministic trends,Unit root tests, VAR models, determination of the maximal lag of the system, Granger Causality, error correction represantation, cointegration, Engle-Granger cointegration test, Johansen cointegration test, ARDL models, bounds test.
Course Precondition
Resources
Notes
Course Learning Outcomes
| Order | Course Learning Outcomes |
|---|---|
| LO01 | Determines the roots of VAR(p) models and whether they are stable. |
| LO02 | Obtains the VMA representation of VAR(p) models and decomposes the prediction variance. |
| LO03 | It orthogonalizes the errors of VAR models and obtains the error correction representation. |
| LO04 | Calculates impulse-response functions and cumulative impulse-response functions of VAR(p) models. |
| LO05 | Calculates the long-run response of a VAR(p) model. |
| LO06 | Calculates the mean, autocovariance and autocorrelation of VAR(p) processes. |
| LO07 | Selects the optimal lag for a VAR model. |
| LO08 | Performs the Granger causality test. |
| LO09 | Defines cointegration and performs the Engle-Granger cointegration test. |
| LO10 | Performs the Johansen cointegration tests. |
| LO11 | Recognizes the ARDL models |
| LO12 | Performs the bounds test. |
Relation with Program Learning Outcome
| Order | Type | Program Learning Outcomes | Level |
|---|---|---|---|
| PLO01 | Bilgi - Kuramsal, Olgusal | Explain the basic concepts and theorems in the fields of Econometrics, Statistics and Operations research | 5 |
| PLO02 | Bilgi - Kuramsal, Olgusal | Acquires basic Mathematics, Statistics and Operation Research concepts | 5 |
| PLO03 | Bilgi - Kuramsal, Olgusal | Describes the necessary concepts of Business | |
| PLO04 | Beceriler - Bilişsel, Uygulamalı | Equipped with the foundations of Economics, and develops Economic models | 3 |
| PLO05 | Beceriler - Bilişsel, Uygulamalı | Models problems with Mathematics, Statistics, and Econometrics | 5 |
| PLO06 | Beceriler - Bilişsel, Uygulamalı | Analyzes/interprets at the conceptual level to develop solutions to problems | 5 |
| PLO07 | Beceriler - Bilişsel, Uygulamalı | Collects/analyses data from reliable data sources for the purpose of study | 5 |
| PLO08 | Bilgi - Kuramsal, Olgusal | Interprets the results analyzed with the model | 5 |
| PLO09 | Beceriler - Bilişsel, Uygulamalı | Combines the information obtained from different sources within the framework of academic rules in a field of research | |
| PLO10 | Beceriler - Bilişsel, Uygulamalı | Adapts traditional approaches, practices and methods to a new study when necessary | 2 |
| PLO11 | Beceriler - Bilişsel, Uygulamalı | Uses a package program of Econometrics, Statistics, and Operation Research | |
| PLO12 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Leads by taking responsibility individually and/or within the team | |
| PLO13 | Yetkinlikler - Öğrenme Yetkinliği | In addition to herself/himself professional development, constantly improves in scientific, cultural, artistic and social fields in line with interests and abilities | |
| PLO14 | Yetkinlikler - Öğrenme Yetkinliği | Being aware of the necessity of lifelong learning, it follows the current developments in the field / constantly renews itself | 2 |
| PLO15 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Uses Turkish and at least one other foreign language, academically and in the business context | 3 |
| PLO16 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Interprets the feelings, thoughts and behaviors of the related persons correctly/expresses himself/herself correctly in written and verbal form | |
| PLO17 | Yetkinlikler - Alana Özgü Yetkinlik | Interprets data on current economic and social issues | 2 |
| PLO18 | Yetkinlikler - Alana Özgü Yetkinlik | Applies social, scientific and professional ethical values |
Week Plan
| Week | Topic | Preparation | Methods |
|---|---|---|---|
| 1 | Nonstationary Processes - Forms of Nonstationarity, Trend Elimination | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 2 | Nonstationary Processes - Dickey-Fuller Tests | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 3 | Nonstationary Processes - The Phillips-Perron Test, Unit Root Tests and Structural Breaks, KPSS test | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 4 | Vector Autoregressive Processes: Stationarity conditions and MA Represantation of the System | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 5 | Vector Autoregressive Processes - Error Correction Represantation, , FPE, AIC, BIC, HQ criteria | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 6 | Vector Autoregressive Processes - Granger Causality, Impulse Response Analysis | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 7 | Vector Autoregressive Processes - Variance Decomposition | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 8 | Midterm Exam | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 9 | Cointegration - Definition and Properties of Cointegrated Processes | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 10 | Cointegration - Cointegration in Single Equation Models: Represantation, Estimation and Testing | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 11 | Cointegration - Cointegration in Vector Autoregressive Models: The Vector Error Correction Representation, The Johansen Approach | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 12 | Cointegration - Cointegration in Vector Autoregressive Models: Analysis of Vector Error Correction Models, Cointegration and Economic Theory | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 13 | ARDL models, static and dynamic equilibrium | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 14 | Bounds test | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 15 | An overview | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 16 | Final exam | Students will be prepared by studying relevant subjects from source books according to the weekly program | |
| 17 | Final exam | Students will be prepared by studying relevant subjects from source books according to the weekly program |
Assessment (Exam) Methods and Criteria
| Assessment Type | Midterm / Year Impact | End of Term / End of Year Impact |
|---|---|---|
| 1. Midterm Exam | 50 | 20 |
| 1. Short Exam | 50 | 20 |
| General Assessment | ||
| Midterm / Year Total | 100 | 40 |
| 1. Final Exam | - | 60 |
| Grand Total | - | 100 |
Student Workload - ECTS
| Works | Number | Time (Hour) | Workload (Hour) |
|---|---|---|---|
| Course Related Works | |||
| Class Time (Exam weeks are excluded) | 14 | 3 | 42 |
| Out of Class Study (Preliminary Work, Practice) | 14 | 3 | 42 |
| Assesment Related Works | |||
| Homeworks, Projects, Others | 0 | 0 | 0 |
| Mid-term Exams (Written, Oral, etc.) | 1 | 7 | 7 |
| Final Exam | 1 | 18 | 18 |
| Total Workload (Hour) | 109 | ||
| Total Workload / 25 (h) | 4,36 | ||
| ECTS | 4 ECTS | ||