Nonlinear Time Series Analysis
Economics
Institute of Social Sciences
Third Cycle (Doctorate Degree)
| Course Unit Title | Course Unit Code | Type of Course Unit | Level of Course Unit | Year of Study | Semester | ECTS Credits |
|---|---|---|---|---|---|---|
| Nonlinear Time Series Analysis | IKT121 | Elective | Doctorate degree | 1 | Fall | 6 |
Name of Lecturer(s)
Prof. Dr. Selçuk KOÇ
Learning Outcomes of the Course Unit
1) Recognize the application of econometric techniques they needed
2) Have the basic feature of time series analysis which they needed
3) Recognize the stochastic and determistic features
4) Have information about stationary and structural change
5) Apply the procedure of cointegration, causality, ECM, VAR, VECM
6) Recognize the how to use the statistic software
Program Competencies-Learning Outcomes Relation
| Program Competencies | ||||
| 1 | 2 | 3 | ||
| Learning Outcomes | ||||
| 1 | High | High | High | |
| 2 | High | High | High | |
| 3 | High | High | High | |
| 4 | High | High | High | |
| 5 | High | High | High | |
| 6 | High | High | High | |
Mode of Delivery
Face to Face
Prerequisites and Co-Requisites
None
Recommended Optional Programme Components
Econometrics I, Econometrics II, Time Series Analysis
Course Contents
Candidates are provided with in-depth knowledge on unit root, seasonality, DF79, DF81, perron89, cointegration, ECM,causality,VAR,AR,MA,ARMA,ARIMA.
Weekly Schedule
1) Introduction to time series2) Determination of deterministic and stochastic component of the time series
3) Seasonality,trend,constant effect, testing and correcting them
4) Stationary tests, DF and ADF (1979) test and applications
5) Structural break, Perron (1989) test and its application
6) Cointegration Analysis
7) Johansen (1988,1990) and Engle and Granger (1987) procedure
8) Midterm examination/Assessment
9) Midterm examination/Assessment
10) VAR models
11) Introduce to statistical software
12) Loading data, interpreting programme output
13) Unit root applications
14) Testing stationary and structural break
15) Cointegration, causality and the VAR analysis applications
16) Final examination
Recommended or Required Reading
Planned Learning Activities and Teaching Methods
1) Lecture
2) Question-Answer
3) Discussion
4) Drill and Practice
Assessment Methods and Criteria
Contribution of Midterm Examination to Course Grade |
40% |
|---|---|
Contribution of Final Examination to Course Grade |
60% |
Total |
100% |
Language of Instruction
Turkish
Work Placement(s)
Not Required