Theory and applications of time series models. Topics include ARMA and VARMA models, , Trend-Cycle decomposition, Unit roots, Cointegration, Structural change, GARCH, Regime switching and threshold models, Statespace form and Kalman filters, and specialized topics such as Fractional Integration and I(2) models.
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Şu an: mail at, ben düzenleyip yayına alayım. Form/upload UX yakında geliyor (Kimya tasarlıyor).
| Dönem | Course CPA | |
|---|---|---|
| 2023-2024 Spring | 2.91 | 1 sec · 10 öğr |
| 2017-2018 Fall | 3.46 | 1 sec · 5 öğr |
| 2016-2017 Fall | 3.40 | 1 sec · 10 öğr |
| 2015-2016 Fall | 3.72 | 1 sec · 6 öğr |
| 2014-2015 Fall | 2.87 | 1 sec · 11 öğr |
| 2013-2014 Fall | 3.38 | 1 sec · 8 öğr |
| 2011-2012 Fall | 3.28 | 1 sec · 9 öğr |
| 2010-2011 Fall | 2.89 | 1 sec · 12 öğr |
| 2009-2010 Fall | 2.99 | 1 sec · 10 öğr |
| 2008-2009 Fall | 3.43 | 1 sec · 8 öğr |
Aggregate course GPA — Bilkent STARS'tan public data. Hoca-bazlı per-section detayı için STARS evaluation report →. Öğrenci anket cevapları KVKK kapsamında defter'de tutulmaz.
Course Learning Outcomes: Course Learning Outcome Assessment Can evaluate which econometric technique to use under varying conditions (K1) Midterm HW Can use various statistical software to estimate econometric models and analyze output(S1) Participation HW Can generate ideas and motivate them, also finding the method and the data to investigate the question proposed (L5) Project proposal Can complete original econometric analysis in the form of a research article (W1) Final Project
Introduction ARMA models Vector Autoregression models Trend and Cycle Decomposition Nonstationarity and Unit Roots (Brownian Motion) Unit Root Testing Cointegration Structural Change GARCH models State Space Form and Kalman Filters Frequency Analysis Fractional Integration Regime Switching and Threshold Models ECTS - Workload Table: Activities Number Hours Workload Project (including preparation and presentation if applicable) 1 25 25 Course hours 14 3 42 Individual or group work 14 4 56 Report (including preparation and presentation if applicable) 1 5 5 Midterm exam 1 2 2 Homework 1 5 5 Preparation for Midterm exam 1 20 20 Total Workload: 155 Total Workload / 30: 155 / 30 5.17 ECTS Credits of the Course: 5 Type of Course: Lecture - Project Teaching Methods: Lecture - Assignment - Exercises - Practical session