COURSE UNIT TITLE

: ECONOMETRIC TIME SERIES ANALYSIS II

Description of Individual Course Units

Course Unit Code Course Unit Title Type Of Course D U L ECTS
EKO 5018 ECONOMETRIC TIME SERIES ANALYSIS II ELECTIVE 3 0 0 4

Offered By

Econometrics

Level of Course Unit

Second Cycle Programmes (Master's Degree)

Course Coordinator

PROFESSOR DOCTOR IPEK DEVECI KOCAKOÇ

Offered to

Econometrics

Course Objective

To gain knowledge of econometric on the top level about the theory of time series analysis and tecniques and to provide acquisition of practical experience on the provision of economic time series.

Learning Outcomes of the Course Unit

1   To be able to define time series.
2   To be able to detect and resolve seasonal series.
3   To be able to apply appropriate methods for time series.
4   To be able to estimate future and interpret the results.
5   To be able to modelling time series encountering in public and private sector and to do statistical implications of these models.

Mode of Delivery

Face -to- Face

Prerequisites and Co-requisites

None

Recomended Optional Programme Components

None

Course Contents

Week Subject Description
1 ARIMA Models
2 ARIMA Models More
3 Nonstationary Time Series
4 Nonstationary Time Series More
5 Random Walk Model
6 Deterministic and Stochastic Trendler
7 Applications
8 Mid-term
9 The Criterias of Model Selection Information
10 Multivariate Time Series Models
11 Multivariate Time Series Models More
12 VAR Model
13 VAR Model More
14 Volatilite

Recomended or Required Reading

1- Hamilton, J., Time Series Analysis, 1994.
2- Enders, W., Applied Econometric Time Series, John Wiley, 2004.
3- Franses, P.H., Time Series Models for Business and Economic Forecasting, Camb. Uni. Press, 1998.
4- Patterson, K., Introduction to Econometrics, A Time series Approach, 2001
5- Chatfield, C., The Analysis of Time Series, An Introduction, 5th ed., 1995.
6- Reinsel, G.C., Elements of Multivariate Time Series Analysis, 2003.
7- Lutkepohl, H., Introduction to Multiple Time Series Analysis, 1993.

Planned Learning Activities and Teaching Methods

Lecture Method, Question-Answer Method, Method Discussion and Problem Solving Method.

Assessment Methods

SORTING NUMBER SHORT CODE LONG CODE FORMULA
1 MTE MIDTERM EXAM
2 STT TERM WORK (SEMESTER)
3 FIN FINAL EXAM
4 FCG FINAL COURSE GRADE MTE * 0.30 + STT * 0.30 + FIN* 0.40
5 RST RESIT
6 FCGR FINAL COURSE GRADE (RESIT) MTE * 0.30 + STT * 0.30 + RST* 0.40


*** Resit Exam is Not Administered in Institutions Where Resit is not Applicable.

Further Notes About Assessment Methods

None

Assessment Criteria

To be announced.

Language of Instruction

Turkish

Course Policies and Rules

To be announced.

Contact Details for the Lecturer(s)

To be announced.

Office Hours

To be announced.

Work Placement(s)

None

Workload Calculation

Activities Number Time (hours) Total Work Load (hours)
Lectures 13 3 39
Preparation for midterm exam 1 20 20
Preparation for final exam 1 20 20
Preparations before/after weekly lectures 13 2 26
Midterm 1 3 3
Final 1 3 3
TOTAL WORKLOAD (hours) 111

Contribution of Learning Outcomes to Programme Outcomes

PO/LOPO.1PO.2PO.3PO.4PO.5PO.6PO.7PO.8
LO.11
LO.21
LO.311
LO.41111
LO.511111