Studienhandbuch | KS Financial and Macroeconometrics

Inhalt

Workload	Education level	Study areas	Responsible person	Hours per week	Coordinating university
3 ECTS	M1 - Master's programme 1. year	Economics	Jochen Güntner	2 hpw	Johannes Kepler University Linz

Detailed information
Original study plan	Master's programme Economic and Business Analytics 2023W
Objectives	Students know how to solve first- and second-order difference equations and investigate their dynamic properties. Students know how to apply analytical tools and econometric tests in order to analyze the properties and model the dynamics of macroeconomic and financial time series.
Subject	1. The Concept of Time Series 2. Difference Equations and their Solution 3. Maximum Likelihood Estimation 4. Stationary Time-Series Models 5. Deterministic and Stochastic Trends 6. Modeling Time-Varying Volatility 7. Vector Autoregressive (VAR) Models 8. Cointegration and Vector-Error-Correction (VEC) Models
Criteria for evaluation	Written final exam, homework assignments
Methods	Classroom lectures, sample code, homework assignments
Language	English
Study material	Enders, Walter (2010), Applied Econometric Time Series. 3rd edition. John Wiley & Sons.
Changing subject?	No
Is completed if	977ANMEFAMK22: KS Financial and Macroeconometrics (4ECTS); 971ATECFAMK19: KS Financial and Macroeconometrics (4ECTS)

On-site course
Maximum number of participants	200
Assignment procedure	Assignment according to priority