COURSE INFORMATION
Course CodeCourse TitleL+P HourSemesterECTS
EKNM 402TIME SERIES ANAYSIS - II3 + 06th Semester5

COURSE DESCRIPTION
Course Level Bachelor's Degree
Course Type Elective
Course Objective The aim of this lecture is to introduce to time series econometrics.
Course Content Seasonality, Stationarity, Unit root, Cointegration, Causality
Prerequisites No prerequisites.
Corequisite No corequisites.
Mode of Delivery Face to face

COURSE LEARNING OUTCOMES
1Understanding seasonality properties of time series
2Stationarity and Unit Root Analysis
3VAR Models
4Cointegration
5Causality

COURSE'S CONTRIBUTION TO PROGRAM
PO 01PO 02PO 03PO 04PO 05PO 06PO 07PO 08PO 09PO 10PO 11PO 12
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Sub Total252525252525252525252525
Contribution555555555555

ECTS ALLOCATED BASED ON STUDENT WORKLOAD BY THE COURSE DESCRIPTION
ActivitiesQuantityDuration (Hour)Total Work Load (Hour)
Course Duration14342
Hours for off-the-classroom study (Pre-study, practice)13339
Assignments11010
Mid-terms11313
Final examination12626
Total Work Load

ECTS Credit of the Course






130

5

COURSE DETAILS
 Select Year   


 Course TermNoInstructors
Details 2019-2020 Spring2MEHMET İVRENDİ

Course Details
Course Code:  EKNM 402 Course Title:  TIME SERIES ANAYSIS - II
L+P Hour : 3 + 0   Course Code : 2   Language Of Instruction: English Course Semester :  2019-2020 Spring
Course Coordinator :  PROFESSOR MEHMET İVRENDİ E-Mail:  mivrendi@pau.edu.tr, Phone Number :  296 2833,
Course Location İİBF C0012,
Goals : The aim of this lecture is to introduce to time series econometrics.
Content : Seasonality, Stationarity, Unit root, Cointegration, Causality
Attendance : %70
Topics
WeeksTopics
1 The stationarity of time series
2 The study of stationarity: Autocovariance function, Autocorrelation function, Correlogram, Box Test, Ljung-Box test
3 Unit root tests without structural breaks:Dickey-Fuller, Augmented Dickey-Fuller, Phillips-Perron, Ng and Perron, DF-GLS, KPSS
4 Yapısal kırılmayı dikkate almayan birim kök testleri: Dickey-Fuller, Genişletilmiş Dickey-Fuller,Joint test, Phillips-Perron, Ng ve Perron, DF-GLS, KPSS
5 Unit root tests with structural breaks: Perron, Zivot-Andrews, Lumsdaine-Papell, Lee-Strazicich, Kapetanios, Bai-Berron
6 Unit root tests with structural breaks: Perron, Zivot-Andrews, Lumsdaine-Papell, Lee-Strazicich, Kapetanios, Bai-Berron
7 Cointegration
8 Cointegration
9 ARDL Model and Granger Causality
10 VAR Model and analysis: Impulse-response functions and variance decomposition analysis
11 VAR Model and analysis: Impulse-response functions and variance decomposition analysis
12 Structural VAR Model and Error Corrected Mechanism (ECM)
13 VECM Model
14 VECM Model
Materials
Materials are not specified.
Resources
ResourcesResources Language
Chris Brooks(2014) Introductory Econometrics for Finance 3rd Edition, Cambridge University Press.English
Jhon. D. Levendis(2018) Time Series Econometrics Learning Through Replication, SpringerEnglish
Hill, Griffiths and Lin (2011) Principles of Econometrics, 4th Edition, WileyEnglish
Course Assessment
Assesment MethodsPercentage (%)Assesment Methods Title
Final Exam40Final Exam
Midterm Exam30Midterm Exam
Project30Project
L+P: Lecture and Practice
PQ: Program Learning Outcomes
LO: Course Learning Outcomes