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Information
| Unit | FACULTY OF ECONOMICS AND ADMINISTRATIVE SCIENCES |
| ECONOMETRICS PR. | |
| Code | EKMZ406 |
| Name | Time Series Models II |
| Term | 2020-2021 Academic Year |
| Semester | 8. Semester |
| Duration (T+A) | 3-0 (T-A) (17 Week) |
| ECTS | 4 ECTS |
| National Credit | 3 National Credit |
| Teaching Language | Türkçe |
| Level | Lisans Dersi |
| Type | Normal |
| Label | C Compulsory |
| Mode of study | Uzaktan Öğretim |
| Catalog Information Coordinator | Dr. Öğr. Üyesi FELA ÖZBEY |
| Course Instructor |
Doç. Dr. ÇİLER SİGEZE GÜNEY
(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 | Detects deterministic and stochastic trend. |
| LO02 | Analyzes multivariate time series models. |
| LO03 | Detects interrelationship among economic time series. |
| LO04 | Establishes statistical model that best fits the time series data. |
Relation with Program Learning Outcome
| Order | Type | Program Learning Outcomes | Level |
|---|---|---|---|
| PLO01 | - | Explains Econometric concepts | 5 |
| PLO02 | - | Acquires basic Mathematics, Statistics and Operation Research concepts | 5 |
| PLO03 | - | Equipped with the foundations of Economics, and develops Economic models | 4 |
| PLO04 | - | Describes the necessary concepts of Business | 1 |
| PLO05 | - | Models problems with Mathematics, Statistics, and Econometrics | 5 |
| PLO06 | - | Estimates the model consistently and analyzes & interprets its results | 5 |
| PLO07 | - | Acquires the ability to analyze, benchmark, evaluate and interpret at conceptual levels to develop solutions to problems | 5 |
| PLO08 | - | Collects, edits, and analyzes data | 4 |
| PLO09 | - | Uses a package program of Econometrics, Statistics, and Operation Research | 1 |
| PLO10 | - | Effectively works, take responsibility, and the leadership individually or as a member of a team | 1 |
| PLO11 | - | Awareness towards life-long learning and follow-up of the new information and knowledge in the field of study | 4 |
| PLO12 | - | Develops the ability of using different resources in the form of academic rules, synthesis the information gathered, and effective presentation in an area which has not been studied | 2 |
| PLO13 | - | Uses Turkish and at least one other foreign language, academically and in the business context | 2 |
| PLO14 | - | Good understanding, interpretation, efficient written and oral expression of the people involved | 2 |
| PLO15 | - | Improves himself/herself constantly by defining educational requirements considering interests and talents in scientific, cultural, art and social fields besides career development | 1 |
| PLO16 | - | Questions traditional approaches and their implementation while developing alternative study programs when required | 4 |
| PLO17 | - | Recognizes and implements social, scientific, and professional ethic values | 4 |
| PLO18 | - | Follows actuality, and interprets the data about economic and social events | 4 |
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 | 100 | 40 |
| 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 | ||