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Winter Term 200 7 /200 8

Department of Empirical Research and Econometrics. Macroeconometrics. Winter Term 200 7 /200 8. Course Outline. Organizational Issues. Dr. Sevtap Kestel Office hours: Mo.,Wed.,Thurs. 1 6 :00-1 7 :00 Room 2338 Exam date: 10 th or 11 th March 200 8 Tutor: Mr. Anthony Strittmatter

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Winter Term 200 7 /200 8

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  1. Department of Empirical Research and Econometrics Macroeconometrics Winter Term 2007/2008 Course Outline Dr. Sevtap Kestel

  2. Organizational Issues Dr. Sevtap Kestel • Office hours: Mo.,Wed.,Thurs. 16:00-17:00 Room 2338 • Exam date: 10th or 11th March 2008 • Tutor: Mr. Anthony Strittmatter • E-mails: sevtap.kestel@vwl.uni-freiburg.de anthony.strittmatter@vwl.uni-freiburg.de Dr. Sevtap Kestel

  3. Course Structure March 3, Monday: 9:00-12:30, 13:30-15:00 Lectures 1-3: Review of Univariate Time Series Model • Stationarity • Autocorrelation and Partialautocorrelation • Random Walk • AR(p) and MA(q) Models • ARMA(p,q) • Nonstationarity and Integrated Models • Unit roots, Dickey Fuller Test • Estimation Dr. Sevtap Kestel

  4. Course Structure March 4, Tuesday, Tutorials 1-2: 9:00-12:30 • Introduction to EViews Data processing, commands • Application of Univariate Time Series Models on data set • Interpretation and analyses of output Lecture 4:15:00-16:30 Univariate Time Series • Forecasting Vectorautoregressive (VAR) model • Modeling and Estimation Dr. Sevtap Kestel

  5. Course Structure March 5, Wednesday Lectures 5-6:9:00-12:30 Vectorautoregressive (VAR) model • Granger Causality test • Impulse response function • Variance Decomposition Model Tutorial 4: 13:30-15:00 • EViews applications on Forecasting and VAR • Interpretation and analysis of output analysis Dr. Sevtap Kestel

  6. Course Structure March 6, Thursday Lectures 7-8: 9:00-12:30 Cointegration Analysis • Linear combination of integrated variables • Error-correction model • Engle-Granger Method Tutorial 4: 13:30-15:00 • EViews application on Cointegration analysis • Interpretation and analysis of output Dr. Sevtap Kestel

  7. Grading and Examination Overall Grade depends on Class Participitation (20%) includes classwork assignments given during the lectures or/and tutorials Exam (80%) a comprehensive 2hrs in-class exam Proposed Exam dates: March 10 or March 11 Dr. Sevtap Kestel

  8. Course Material and Reference Books Presentations/lecture notes will be available on the web site References: 1. Applied Econometric Time Series by W. Enders 2. Time Series Analysis by J.D. Hamilton Dr. Sevtap Kestel

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