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 s:
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 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

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