Inhalt

[ 977ANMEFAMK23 ] KS Financial and Macroeconometrics

Versionsauswahl
Workload Education level Study areas Responsible person Hours per week Coordinating university
3 ECTS M1 - Master's programme 1. year Economics Jochen G√ľntner 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