TÜRKÇE
ENGLISH
Information
| Unit | FACULTY OF ECONOMICS AND ADMINISTRATIVE SCIENCES |
| ECONOMETRICS PR. (ENGLISH) | |
| Code | ECMZ406 |
| Name | Time Series Models II |
| Term | 2024-2025 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
The course content covers VAR models, roots, stability, VMA representation, orthogonalization of errors, impulse-response function, cumulative impulse-response function, long-term response, variance decomposition, mean, variance, autocovariance and autocorrelations, lag selection criteria, Granger causality, error correction representation, cointegration, Engle-Granger and Johansen cointegration tests, ARDL models and bounds testing.
Course Precondition
None
Resources
Gebhard Kirchgässner, Jürgen Wolters (2007), Introduction to Modern Time Series Analysis, Springer, ISBN: 978-3-540-73291-4
Notes
James Douglas Hamilton, (1994) Time Series Analysis, Princeton University Press, ISBN: 9780691042893
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 | Vector Autoregressive Processes: Stability conditions and MA Represantation of the System | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 2 | The mean vector and the autocovariance matrices of VAR models | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 3 | Autocorrelations matrices of VAR models | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 4 | 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 | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 5 | Orthogonalizing the errors of VAR models | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 6 | Granger Causality, Impulse Response Analysis | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 7 | Variance Decomposition | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 8 | Mid-Term Exam | Preparing for the midterm exam | Ölçme Yöntemleri: Yazılı Sınav |
| 9 | Definition and Properties of Cointegrated Processes | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 10 | 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 | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 11 | 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 | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 12 | 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 | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 13 | ARDL models, static and dynamic equilibrium | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 14 | Bounds test | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 15 | An overview | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 16 | Term Exams | Final exam preparation | Ölçme Yöntemleri: Yazılı Sınav |
| 17 | Term Exams | Final exam preparation | Ölçme Yöntemleri: Yazılı Sınav |
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 | ||