School of Economics and Administrative Sciences \ Economics
Course Credit
ECTS Credit
Course Type
Instructional Language
Programs that can take the course
Theory and application of time series methods in economics
Textbook and / or References
Applied Econometric Time Series (Walter Enders), Ekonometrik Zaman Serileri Analizi: EViews Uygulamalı (Sevüktekin ve Nargeleçekenler)
Conducting analyses using time series, constructing a structural model, estimating the parameters of the model, generating policy analyses, and developing reporting and presentation skills
1. Introduction to basic econometric techniques in time series
2. Use of econometric software packages (Eviews)
3. Independent, analytical research employing the tools of econometrics
1. Week: Introduction to time series
2. Week: Fundamental concepts
3. Week: Classical methods
4. Week: Univariate, stationary models (ARIMA)
5. Week: Univariate, stationary models (ARIMA)
6. Week: Univariate, nonstationary models (ARCH/GARCH)
7. Week: Multivariate, stationary models (VAR)
8. Week: Multivariate, stationary models (VAR)
9. Week: Multivariate, nonstationary models (cointegration)
10. Week: Multivariate, nonstationary models (VECM)
11. Week: Recent issues in time series models
12. Week: Recent issues in time series models
Tentative Assesment Methods
• Homework 40 %
• Final 60 %
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