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Information
| Code | ISB007 |
| Name | Time Series Analysis I |
| Term | 2023-2024 Academic Year |
| Term | Spring |
| 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 | |
| Course Instructor |
1 |
Course Goal / Objective
The objectives of this course are to do modelling and analysis of time series.
Course Content
Difference Equations, Lag Operators, MA,AR,ARMA Processes, Stationary ARMA Processes, Forecasting, Maximum Likelihood Estimation,Multivariate Time Series, Cointegration
Course Precondition
no
Resources
1. Hamilton,J.D. (1994).Time series analysis. Princeton univ. press., NEW JERSEY. 2. Enders, W. (1995). Applied econometric time series. John Wiley and Sons,INC.
Notes
3. Akdi, Y.(2003). Zaman serileri analizi. Bıçaklar kitabevi. ANKARA. 4. Sevüktekin, M. Ve Nargeleçekenler, M.(2007). Ekonometrik zaman serileri analizi. Nobel kitabevi. ANKARA.
Course Learning Outcomes
| Order | Course Learning Outcomes |
|---|---|
| LO01 | To solve difference equations |
| LO02 | to learn stationary time series processes |
| LO03 | Comprehend forecasting and forecasting methods |
| LO04 | Must be able to model in time series |
| LO05 | Should be able to perform stationarity analysis |
| LO06 | Comprehend non-stationary time series |
| LO07 | Must learn multivariate time series models |
| LO08 | Learn the concept of cointegration |
Relation with Program Learning Outcome
| Order | Type | Program Learning Outcomes | Level |
|---|---|---|---|
| PLO01 | Bilgi - Kuramsal, Olgusal | Have in-depth theoretical and practical knowledge about Probability and Statistics | 2 |
| PLO02 | Bilgi - Kuramsal, Olgusal | They have the knowledge to make doctoral plans in the field of statistics. | 3 |
| PLO03 | Bilgi - Kuramsal, Olgusal | Has comprehensive knowledge about analysis and modeling methods used in statistics. | 4 |
| PLO04 | Bilgi - Kuramsal, Olgusal | Has comprehensive knowledge of methods used in statistics. | 2 |
| PLO05 | Bilgi - Kuramsal, Olgusal | Make scientific research on Mathematics, Probability and Statistics. | 3 |
| PLO06 | Bilgi - Kuramsal, Olgusal | Indicates statistical problems, develops methods to solve. | 3 |
| PLO07 | Bilgi - Kuramsal, Olgusal | Apply innovative methods to analyze statistical problems. | 3 |
| PLO08 | Bilgi - Kuramsal, Olgusal | Designs and applies the problems faced in the field of analytical modeling and experimental researches. | 3 |
| PLO09 | Bilgi - Kuramsal, Olgusal | Access to information and do research about the source. | |
| PLO10 | Bilgi - Kuramsal, Olgusal | Develops solution approaches in complex situations and takes responsibility. | |
| PLO11 | Bilgi - Kuramsal, Olgusal | Has the confidence to take responsibility. | |
| PLO12 | Beceriler - Bilişsel, Uygulamalı | They demonstrate being aware of the new and developing practices. | |
| PLO13 | Beceriler - Bilişsel, Uygulamalı | He/She constantly renews himself/herself in statistics and related fields. | 2 |
| PLO14 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Communicate in Turkish and English verbally and in writing. | |
| PLO15 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Transmits the processes and results of their studies clearly in written and oral form in national and international environments. | |
| PLO16 | Yetkinlikler - Öğrenme Yetkinliği | It considers the social, scientific and ethical values in the collection, processing, use, interpretation and announcement stages of data and in all professional activities. | 4 |
| PLO17 | Yetkinlikler - Öğrenme Yetkinliği | Uses the hardware and software required for statistical applications. | 3 |
Week Plan
| Week | Topic | Preparation | Methods |
|---|---|---|---|
| 1 | difference equations | source reading | Öğretim Yöntemleri: Anlatım |
| 2 | MA,AR,ARMA processes | source reading | Öğretim Yöntemleri: Anlatım |
| 3 | Forecasting methods | source reading | Öğretim Yöntemleri: Anlatım, Soru-Cevap |
| 4 | Estimation methods | source reading | Öğretim Yöntemleri: Anlatım, Soru-Cevap |
| 5 | maximum likelihood estimation | source reading | Öğretim Yöntemleri: Anlatım, Soru-Cevap |
| 6 | Modeling in time series | source reading | Öğretim Yöntemleri: Anlatım, Soru-Cevap |
| 7 | Stationarity analysis | source reading | Öğretim Yöntemleri: Anlatım |
| 8 | midterm | Ölçme Yöntemleri: Yazılı Sınav |
|
| 9 | Nonstationary time series I | source reading | Öğretim Yöntemleri: Anlatım |
| 10 | Nonstationary time series II | source reading | Öğretim Yöntemleri: Anlatım |
| 11 | Multivariate time series models I | source reading | Öğretim Yöntemleri: Anlatım |
| 12 | Multivariate time series models II | source reading | Öğretim Yöntemleri: Anlatım |
| 13 | Kointegrasyon I | source reading | Öğretim Yöntemleri: Anlatım, Soru-Cevap |
| 14 | Kointegrasyon II | source reading | Öğretim Yöntemleri: Anlatım, Soru-Cevap |
| 15 | Estimation of the cointegration vector | source reading | Öğretim Yöntemleri: Anlatım |
| 16 | Final exam | Ölçme Yöntemleri: Yazılı Sınav |
|
| 17 | Final exam | 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 | ||