Please note! Course description is confirmed for two academic years, which means that in general, e.g. Learning outcomes, assessment methods and key content stays unchanged. However, via course syllabus, it is possible to specify or change the course execution in each realization of the course, such as how the contact sessions are organized, assessment methods weighted or materials used.
LEARNING OUTCOMES
Students learn
- statistical modeling
- to understand how to analyze time series data and make forecasts in economics and business
- to design statistical research.
Credits: 6
Schedule: 02.03.2021 - 15.04.2021
Teacher in charge (valid 01.08.2020-31.07.2022): Tomi Seppälä
Teacher in charge (applies in this implementation): Hannu Kahra
Contact information for the course (applies in this implementation):
CEFR level (applies in this implementation):
Language of instruction and studies (valid 01.08.2020-31.07.2022):
Teaching language: English
Languages of study attainment: English
CONTENT, ASSESSMENT AND WORKLOAD
Content
Valid 01.08.2020-31.07.2022:
Topics in linear models and time series analysis: special estimation methods of regression models, ARMA and ARIMA models, forecasting, stationarity, integrated series, cointegration, ARCH and GARCH models, multivariate models, panel data
Assessment Methods and Criteria
Valid 01.08.2020-31.07.2022:
NOTE! Students must pass a preliminary assignment in order to be able to attend the course. More information will be given on the MyCourses page of the course closer to the begin of the registration.
75% exam
25% assignments
Workload
Valid 01.08.2020-31.07.2022:
Contact teaching 36 h
Independent work 121 h
Exam 3 h
Total 160 h (ECTS)
DETAILS
Study Material
Valid 01.08.2020-31.07.2022:
1. Brooks, Chris (2008) Introductory econometrics for finance, 2nd edition or later (selected parts)
2. Enders, Walter (2010).: Applied Econometric Time Series, 3rd Edition or later (selected parts)
3. Verbeek, Marno (2004).: A Guide to Modern Econometrics. 2nd Edition (additional reading
Substitutes for Courses
Valid 01.08.2020-31.07.2022:
30E00800 Time Series Analysis
Prerequisites
Valid 01.08.2020-31.07.2022:
Undergraduate mathematics and statistics and an introductory course in econometrics or regression analysis. More specifically, knowledge of statistical testing and linear regression models are essential. At the minimum one course in university mathematics and two courses in university statistics is assumed.
- Teacher: Kahra Hannu
- Teacher: Seppälä Tomi
- Teacher: Vedernikov Andrei