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Information
| Code | EKMZ405 |
| Name | Time Series Models I |
| Term | 2024-2025 Academic Year |
| Semester | 7. Semester |
| Duration (T+A) | 3-0 (T-A) (17 Week) |
| ECTS | 3 ECTS |
| National Credit | 3 National Credit |
| Teaching Language | Türkçe |
| 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
(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 univariate time series analysis.
Course Content
In the content of the course, stochastic process and time series concepts, objectives of time and frequency based analyses will be discussed. Components of economic time series, solution of difference equations, roots and stability will be examined. Impulse-response function, cumulative impulse-response function and long-term response will be explained; expected values of processes, stationarity and ergodicity issues will be covered. Trend stationary and difference stationary processes, properties of white noise process, mean, variance and autocovariance of MA(q) processes will be emphasized. Mean, variance and autocovariance of AR(p) processes and stationarity conditions will be examined and an introduction will be made to ARIMA(p,d,q) processes. Box-Jenkins approach will be explained in ARIMA modeling; autocorrelation and partial autocorrelation functions of AR, MA and ARMA processes will be analyzed. Finally, unit root tests will be emphasized.
Course Precondition
None
Resources
Mehmet Çınar , Mustafa Sevüktekin (2014), Ekonometrik Zaman Serileri Analizi: EViews Uygulamalı, Dora Yayıncılık James Douglas Hamilton, (1994) Time Series Analysis, Princeton University Press, ISBN: 9780691042893
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 | Checks whether a difference equation satisfies stability conditions. |
| LO02 | Calcuates dynamic multipliers (impulse-response functions). |
| LO03 | Calcuates cumulative dynamic multipliers (cumulative impulse-response functions). |
| LO04 | Calcuates the long-run response to a shock. |
| LO05 | Distinguishes between trend stationary and difference stationary process. |
| LO06 | Lists statistical properties of the White noise process. |
| LO07 | Checks whether a stochastic process satisfies stationarity conditions. |
| LO08 | Checks whether a stochastic process satisfies invertibility conditions,Performs unit root tests. |
| LO09 | Frees an overparameterized ARMA model from overparameterization. |
| LO10 | Calculates the mean of a given process. |
| LO11 | Calculates the autocovariances, autocorrelations, and partial autocorrelations of a given process. |
| LO12 | Chooses the most appropriate model for the underlying univariate time series. |
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 | 2 |
| 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 | Beceriler - Bilişsel, Uygulamalı | 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 constantly renews itself by following the current developments in its field. | 2 |
| PLO15 | Yetkinlikler - İletişim ve Sosyal Yetkinlik | Uses Turkish and at least one other foreign language, academically and in the business context | 2 |
| 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 | 3 |
| PLO18 | Yetkinlikler - Alana Özgü Yetkinlik | Applies social, scientific and professional ethical values |
Week Plan
| Week | Topic | Preparation | Methods |
|---|---|---|---|
| 1 | Stochastic process and time series concepts. Analysis of time series: time series analysis in time domain, time series analysis in frequency domain. Components of economic time series. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 2 | First-order difference equations: Definition, Solving a difference equation by recursive substitution, stability offirst-order difference equations, Impulse-response function. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap |
| 3 | pth-order difference equations: Definition, Solving a difference equation by recursive substitution, stability offirst-order difference equations, Impulse-response function. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 4 | pth-order difference equations: stability conditions and impulse-response functions of p-order difference equations having complex roots. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme, Tartışma |
| 5 | Lag operator, Differencing operator. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 6 | Expectations of processes, stationarity, and ergodicity. Trend stationary and difference stationary processes. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 7 | White noise process, MA(q) processes. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 8 | Midterm Exam | Preparing for the midterm exam | Ölçme Yöntemleri: Yazılı Sınav |
| 9 | AR(p) 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 | Random walk process, ARIMA(p,d,q) processes. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme, Alıştırma ve Uygulama |
| 11 | Invertibility for MA(q) processes. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 12 | Overparametrization of the ARMA models. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap |
| 13 | The Box-Jenkins method of ARIMA model identification. Autocorrelation and partian autocorrelation functions of AR, MA, and ARMA processes. Eviews applications. | Students will be prepared by studying relevant subjects from source books according to the weekly program | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Problem Çözme |
| 14 | Unit root tests, Ewiews applications. | 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 | Final Exam | Final exam preparation | Ölçme Yöntemleri: Yazılı Sınav |
| 17 | Final Exam | Final exam preparation | 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 | 2 | 28 |
| Assesment Related Works | |||
| Homeworks, Projects, Others | 0 | 0 | 0 |
| Mid-term Exams (Written, Oral, etc.) | 1 | 6 | 6 |
| Final Exam | 1 | 10 | 10 |
| Total Workload (Hour) | 86 | ||
| Total Workload / 25 (h) | 3,44 | ||
| ECTS | 3 ECTS | ||