Humboldt-Universität zu Berlin - Wirtschaftswissen\=schaftliche Fakultät

General Information

Lecturer: Bernd Droge

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Table of Contents

1. Descriptive Methods
   • Sample Moments
   • Classical Components Models 
   • Trend Determination
   • Seasonal Adjustment
2. Models of Time Series
   • Stochastic Processes and Stationarity
   • AR, MA and ARMA Processes
   • The Partial Autocorrelation Function
3. Estimation, Specification, Validation and Forecasting of ARMA Models
   
4. Models for Nonstationary Time Series and Unit Root Tests
   • Trend Stationarity vs. Unit Root
   • ARIMA and Seasonal ARIMA Models
   • Unit Root Tests
5. GARCH Models for Clustered Volatility
6. Multivariate Extensions
• VAR Processes
• Causality and Impulse Response Analysis
• Cointegrated Processes

• Schlittgen/Streitberg (2001): Zeitreihenanalyse, München.
• Hamilton (1994): Time Series Analysis, Princeton University Press.
• Lütkepohl, H. (2005): New Introduction to Multiple Time Series Analysis, Springer Verlag, Heidelberg.