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Information
| Code | IEM710 |
| Name | Time Series Analysis II |
| Term | 2023-2024 Academic Year |
| Term | Fall and 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 | Dr. Öğr. Üyesi FELA ÖZBEY |
| Course Instructor |
1 |
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
This course involves the study of stochastic and deterministic trends,Unit root tests, VAR models, determination of the maximal lag of the system, Granger Causality, error correction represantation, cointegration, Engle-Granger cointegration test, Johansen cointegration test, ARDL models, bounds test.
Course Precondition
None
Resources
James Douglas Hamilton, (1994) Time Series Analysis, Princeton University Press, ISBN: 9780691042893 Gebhard Kirchgässner, Jürgen Wolters (2007), Introduction to Modern Time Series Analysis, Springer, ISBN: 978-3-540-73291-4 Burak Güriş (2020) R Uygulamalı Doğrusal Olmayan Zaman Serileri Analizi, Der Yayınları ISBN: 978-975-353-628-8
Notes
Gebhard Kirchgässner, Jürgen Wolters (2007), Introduction to Modern Time Series Analysis, Springer, ISBN: 978-3-540-73291-4
Course Learning Outcomes
| Order | Course Learning Outcomes |
|---|---|
| LO01 | Distinguishes betweendeterministic trend and stochastic trend. |
| LO02 | Determines whether VAR models are stable or not. |
| LO03 | Calculates impulse-response functions of VAR models. |
| LO04 | Decomposes the variance of a VAR model forecast. |
| LO05 | Performs the Granger causality test. |
| LO06 | Performs the cointegration tests. |
| LO07 | Performs the bounds test. |
| LO08 | Performs stationarity tests. |
Relation with Program Learning Outcome
| Order | Type | Program Learning Outcomes | Level |
|---|---|---|---|
| PLO01 | Bilgi - Kuramsal, Olgusal | Explains contemporary concepts about Econometrics, Statistics, and Operation Research | 5 |
| PLO02 | Bilgi - Kuramsal, Olgusal | Explains relationships between acquired knowledge about Econometrics, Statistics, and Operation Research | 5 |
| PLO03 | Bilgi - Kuramsal, Olgusal | Explains how to apply acquired knowledge in the field to Economics, Business, and other social sciences | 5 |
| PLO04 | Beceriler - Bilişsel, Uygulamalı | Performs conceptual analysis to develop solutions to problems | 5 |
| PLO05 | Beceriler - Bilişsel, Uygulamalı | Models problems with Mathematics, Statistics, and Econometrics | 5 |
| PLO06 | Beceriler - Bilişsel, Uygulamalı | Interprets the results obtained from the most appropriate method to predict the model | 5 |
| PLO07 | Beceriler - Bilişsel, Uygulamalı | Synthesizes the information obtained by using different sources within the framework of academic rules in a field that does not research | 3 |
| PLO08 | Beceriler - Bilişsel, Uygulamalı | Uses acquired knowledge in the field to determine the vision, aim, and goals for an organization/institution | 3 |
| PLO09 | Beceriler - Bilişsel, Uygulamalı | Searches for new approaches and methods to solve problems being faced | 3 |
| PLO10 | Beceriler - Bilişsel, Uygulamalı | Presents analysis results conveniently | 3 |
| PLO11 | Beceriler - Bilişsel, Uygulamalı | Collects/analyzes data in a purposeful way | 5 |
| PLO12 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Converts its findings into a master's thesis or a professional report in Turkish or a foreign language | 3 |
| PLO13 | Beceriler - Bilişsel, Uygulamalı | Develops solutions for organizations using Econometrics, Statistics, and Operation Research | 3 |
| PLO14 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Performs an individual work to solve a problem with Econometrics, Statistics, and Operation Research | 5 |
| PLO15 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Leads by taking responsibility individually and/or within the team | |
| PLO16 | Yetkinlikler - Öğrenme Yetkinliği | Being aware of the necessity of lifelong learning, it constantly renews itself by following the current developments in the field of study | 3 |
| PLO17 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Uses a package program of Econometrics, Statistics, and Operation Research or writes a new code | |
| PLO18 | 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 | |
| PLO19 | Yetkinlikler - Alana Özgü Yetkinlik | Interprets data on economic and social events by following current issues | 3 |
| PLO20 | Yetkinlikler - Alana Özgü Yetkinlik | Applies social, scientific and professional ethical values |
Week Plan
| Week | Topic | Preparation | Methods |
|---|---|---|---|
| 1 | Nonstationary Processes - Forms of Nonstationarity, Trend Elimination | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 2 | Nonstationary Processes - Dickey-Fuller Tests | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 3 | Nonstationary Processes - The Phillips-Perron Test, Unit Root Tests and Structural Breaks, KPSS test | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 4 | Nonstationary Processes - HEGY Tests | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 5 | 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, Alıştırma ve Uygulama |
| 6 | Vector Autoregressive Processes - 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, Alıştırma ve Uygulama |
| 7 | Vector Autoregressive Processes - Variance Decomposition | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 8 | Mid-Term Exam | Ölçme Yöntemleri: Yazılı Sınav |
|
| 9 | Cointegration - 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, Alıştırma ve Uygulama |
| 10 | Cointegration - 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, Gösterip Yaptırma |
| 11 | Cointegration - 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, Alıştırma ve Uygulama |
| 12 | Cointegration - 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, Alıştırma ve Uygulama |
| 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, Alıştırma ve Uygulama |
| 14 | Bounds test | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 15 | An overview | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Alıştırma ve Uygulama |
| 16 | Term Exams | Ölçme Yöntemleri: Yazılı Sınav |
|
| 17 | Term Exams | 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 | ||