ECON680 TIME SERIES ECONOMETRICS
| Course Code: | 3110680 |
| METU Credit (Theoretical-Laboratory hours/week): | 3 (3.00 - 0.00) |
| ECTS Credit: | 8.0 |
| Department: | Economics |
| Language of Instruction: | English |
| Level of Study: | Graduate |
| Course Coordinator: | Assist.Prof.Dr ALEV ATAK |
| Offered Semester: | Fall Semesters. |
Course Objectives
At the end of this course, the student will learn the concepts of :
- univariate time series models
- multivariate time series models
- non parametric time series models
Course Content
Univariate time series models; ARIMA modeling, Bob-Jenkins methodology. Dterministic and stochastic trends. Non-stationary and unit roots; testing and model selection. VAR models; structural VARs, innovation accounting. Cointegration; the Johansen method.
Course Learning Outcomes
Student, who passed the course satisfactorily will be able to:
- carry out diagnostic analysis using their knowledge on time series
- assess a time series of data
- perform a time series analysis
Program Outcomes Matrix
| Level of Contribution | |||||
| # | Program Outcomes | 0 | 1 | 2 | 3 |
| 1 | Advanced level of knowledge on the theory of economics and economic indicators, competency in modelling, analysis and application of economic theories using advanced mathematical and econometric techniques; | ✔ | |||
| 2 | Competency in asking the right research questions; | ✔ | |||
| 3 | Develop an innovative knowledge, method, design and/or practice or adapt an already known knowledge, method, design and/or practice to another field; research, conceive, design, adapt and implement an original subject; | ✔ | |||
| 4 | Conceive the interdisciplinary interaction which the field is related with; efficient use of time; demonstrate leadership in contexts requiring innovative and interdisciplinary problem solving; | ✔ | |||
| 5 | Ability in thouroughly explaining the impact of economic policies on individuals, markets and countries with the help of the theoretical background achieved during program of study; | ✔ | |||
| 6 | Contribute to the progression in the field by producing an innovative idea, skill, and/or practice or by adapting an already known idea, skill, and/or practice to a different field independently; | ✔ | |||
| 7 | Contribute to the transition of the community to an information society and its sustainability process by introducing scientific, technological, social or cultural improvements; | ✔ | |||
| 8 | Ability and competence to work and conduct research with national and international research groups and partnerships; | ✔ | |||
| 9 | Defend original views when exchanging ideas in the field with professionals and communicate effectively by showing competence in the field. | ✔ | |||
0: No Contribution 1: Little Contribution 2: Partial Contribution 3: Full Contribution