Information
Code | IEM746 |
Name | Applied Time Series Analysis II |
Term | 2023-2024 Academic Year |
Semester | . Semester |
Duration (T+A) | 3-0 (T-A) (17 Week) |
ECTS | 6 ECTS |
National Credit | 3 National Credit |
Teaching Language | Türkçe |
Level | Yüksek Lisans Dersi |
Type | Normal |
Mode of study | Yüz Yüze Öğretim |
Catalog Information Coordinator | Dr. Öğr. Üyesi FELA ÖZBEY |
Course Goal / Objective
The aim of this course is to introduce methods modelling spatial autocorrelations in regrresion analysis, and R programming language.
Course Content
The Classical Linear Regression Model, Some Important Spatial Definitions, Spatial Linear Regression Models, applications with R programming language.
Course Precondition
None
Resources
Jonathan D. Cryer , Kung-Sik Chan ( 2008), Time Series Analysis with Applications in R Second Edition, Springer, ISBN: 978-0-387-75958-6
Notes
James Douglas Hamilton, (1994) Time Series Analysis, Princeton University Press, ISBN: 9780691042893
Course Learning Outcomes
Order | Course Learning Outcomes |
---|---|
LO01 | Specifies time series relations. |
LO02 | Chooses the most appropriate model for time series data. |
LO03 | Estimates time series models. |
LO04 | Codes techniques and models taught in this course. |
LO05 | Uses R programming language fluently. |
Relation with Program Learning Outcome
Order | Type | Program Learning Outcomes | Level |
---|---|---|---|
PLO01 | Bilgi - Kuramsal, Olgusal | Explains contemporary concepts about Econometrics, Statistics, and Operation Research | 5 |
PLO02 | Bilgi - Kuramsal, Olgusal | Explains relationships between acquired knowledge about Econometrics, Statistics, and Operation Research | 5 |
PLO03 | Bilgi - Kuramsal, Olgusal | Explains how to apply acquired knowledge in the field to Economics, Business, and other social sciences | 4 |
PLO04 | Beceriler - Bilişsel, Uygulamalı | Performs conceptual analysis to develop solutions to problems | 3 |
PLO05 | Beceriler - Bilişsel, Uygulamalı | Models problems with Mathematics, Statistics, and Econometrics | 4 |
PLO06 | Beceriler - Bilişsel, Uygulamalı | Interprets the results obtained from the most appropriate method to predict the model | 5 |
PLO07 | Beceriler - Bilişsel, Uygulamalı | Synthesizes the information obtained by using different sources within the framework of academic rules in a field that does not research | 3 |
PLO08 | Beceriler - Bilişsel, Uygulamalı | Uses acquired knowledge in the field to determine the vision, aim, and goals for an organization/institution | |
PLO09 | Beceriler - Bilişsel, Uygulamalı | Searches for new approaches and methods to solve problems being faced | 2 |
PLO10 | Beceriler - Bilişsel, Uygulamalı | Presents analysis results conveniently | |
PLO11 | Beceriler - Bilişsel, Uygulamalı | Collects/analyzes data in a purposeful way | 4 |
PLO12 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Converts its findings into a master's thesis or a professional report in Turkish or a foreign language | |
PLO13 | Beceriler - Bilişsel, Uygulamalı | Develops solutions for organizations using Econometrics, Statistics, and Operation Research | |
PLO14 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Performs an individual work to solve a problem with Econometrics, Statistics, and Operation Research | 2 |
PLO15 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Leads by taking responsibility individually and/or within the team | |
PLO16 | Yetkinlikler - Öğrenme Yetkinliği | Being aware of the necessity of lifelong learning, it constantly renews itself by following the current developments in the field of study | 2 |
PLO17 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Uses a package program of Econometrics, Statistics, and Operation Research or writes a new code | 5 |
PLO18 | 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 | |
PLO19 | Yetkinlikler - Alana Özgü Yetkinlik | Interprets data on economic and social events by following current issues | 2 |
PLO20 | Yetkinlikler - Alana Özgü Yetkinlik | Applies social, scientific and professional ethical values |
Week Plan
Week | Topic | Preparation | Methods |
---|---|---|---|
1 | Additional Time Domain Topics: Introduction; Long Memory ARMA and Fractional Differencing; | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama, Gösterip Yaptırma |
2 | Additional Time Domain Topics: Unit Root Testing; GARCH Models; R applications. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama, Gösterip Yaptırma |
3 | Additional Time Domain Topics: ; Threshold Models; Regression with Autocorrelated Errors; R applications. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama, Gösterip Yaptırma |
4 | Additional Time Domain Topics: Lagged Regression: Transfer Function; Multivariate ARMAX Models; R applications. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama, Gösterip Yaptırma |
5 | State-Space Models: Introduction; Filtering, Smoothing, and Forecasting; R applications. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama, Gösterip Yaptırma |
6 | State-Space Models: Maximum Likelihood Estimation; Missing Data Modifications; R applications. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Gösterip Yaptırma, Alıştırma ve Uygulama |
7 | State-Space Models: Structural Models: Signal Extraction and Forecasting; State-Space Models with Correlated Errors; R applications. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama, Gösterip Yaptırma |
8 | Mid-Term Exam | Ölçme Yöntemleri: Ödev |
|
9 | State-Space Models: Bootstrapping State-Space Models; Dynamic Linear Models with Switching; R applications. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama, Gösterip Yaptırma |
10 | State-Space Models: Stochastic Volatility; Nonlinear and Non-normal State-Space Models Using Monte Carlo Methods; R applications. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama, Gösterip Yaptırma |
11 | Statistical Methods in the Frequency Domain: Introduction; Spectral Matrices and Likelihood Functions; Regression for Jointly Stationary Series; R applications. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama, Gösterip Yaptırma |
12 | Statistical Methods in the Frequency Domain: Regression with Deterministic Inputs; Random Coefficient Regression; R applications. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama, Gösterip Yaptırma |
13 | Statistical Methods in the Frequency Domain: Analysis of Designed Experiments; Discrimination and Cluster Analysis; R applications. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama, Gösterip Yaptırma |
14 | Statistical Methods in the Frequency Domain: Principal Components and Factor Analysis; The Spectral Envelope; R applications. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama, Gösterip Yaptırma |
15 | Applications on Some Time Series | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Gösterip Yaptırma |
16 | Term Exams | Ölçme Yöntemleri: Yazılı Sınav |
|
17 | Term Exams | Ölçme Yöntemleri: Yazılı Sınav |
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 | 5 | 70 |
Assesment Related Works | |||
Homeworks, Projects, Others | 0 | 0 | 0 |
Mid-term Exams (Written, Oral, etc.) | 1 | 15 | 15 |
Final Exam | 1 | 30 | 30 |
Total Workload (Hour) | 157 | ||
Total Workload / 25 (h) | 6,28 | ||
ECTS | 6 ECTS |