Department of Empirical Research and Econometrics

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

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

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

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

Course Structure Lectures 5-6: 9:00-12:30 March 5, Wednesday 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

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

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

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