STAT563 MULTIVARIATE TIME SERIES
| Course Code: | 2460563 |
| METU Credit (Theoretical-Laboratory hours/week): | 3 (3.00 - 0.00) |
| ECTS Credit: | 7.0 |
| Department: | Statistics |
| Language of Instruction: | English |
| Level of Study: | Graduate |
| Course Coordinator: | Prof.Dr. ZEYNEP IŞIL KALAYLIOĞLU AKYILDIZ |
| Offered Semester: | Spring Semesters. |
Course Objectives
This course is designed to teach multivariate time series methods and present various applications of these techniques. The course will give students the theoretical knowledge and practical skills to apply the covered techniques in a wide range of empirical applications.
Course Content
Transfer function models and cross-spectral analysis, time series regression and GARCH models, vector time series models, error-correction models, cointegration and causality, state space models and Kalman filter, long memory processes, nonlinear processes, temporal aggregation and disaggregation.
Course Learning Outcomes
1. Demonstrate advanced understanding of the concepts of time series and their applications.
2. Demonstrate familiarity with a range of examples for the different topics covered in the course.
3. Demonstrate an advanced understanding of the underlying concepts in the time series and frequency domains.
4. Apply ideas to real time series data and interpret outcomes of analyses.
5. Learning R-functions that are relevant to the subject area.