Courses Bachelor Display 2017-2018

Course Description To PDF
Course title Time Series Modelling
Course code EBC2086
ECTS credits 6,5
Assessement None
Period
Period Start End Mon Tue Wed Thu Fri
1 4-9-2017 27-10-2017 X X
Level Intermediate
Coordinator Alain Hecq
For more information: a.hecq@maastrichtuniversity.nl
Language of instruction English
Goals
Enable economic students to perform an empirical analysis of time series using the correct tools. Introduction to quantitative methods and econometrics.
Description
The objective of this course is to give students in the Bachelors program of Economics an introduction to modelling univariate and multivariate time series in economics. The topics covered will include modelling non-stationary time series, Granger causality, co-integration, ARIMA, seasonality, ARCH, Unit roots.
Literature
Diebold, F. (2015), Econometrics (available online).
Diebold, F. (2015), Forecasting (available online).
Prerequisites
The Quantitative Methods 3 course for EC, or one of the courses Empirical Econometrics for Business, Empirical Econometrics or Forecasting for international business.
Assuming a basic understanding of multiple regression analysis (such as with an introductory course on econometric/quantitative methods), this accessible introduction to time series analysis shows how to develop models capable of forecasting, interpreting and testing hypothesis concerning economic data using well established as well as modern techniques. Based on real-world data and with the help of interactive software such as Eviews we will study and apply key concepts such as ARIMA, unit roots, causality, cointegration, deterministic and stochastic, trends, volatility, outliers, structural breaks, seasonality, vector autoregressive models.
an advanced level of English.
Teaching methods PBL / Presentation / Lecture / Assignment / Groupwork
Assessment methods Final Paper / Participation / Oral Exam
Evaluation in previous academic year For the complete evaluation of this course please click "here"
This course belongs to the following programmes / specialisations
Bachelor Economics and Business Economics Specialisation Economics and Management of Information QE Electives
Bachelor International Business QE electives
Bachelor Economics and Business Economics Specialisation Economics QE Electives
Bachelor Economics and Business Economics Specialisation Emerging Markets QE Electives
Bachelor Economics and Business Economics Specialisation International Business Economics QE Electives
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