Course Name Code Semester T+U Hours Credit ECTS
Time Series Analysis UFI 516 0 3 + 0 3 7
Precondition Courses
Recommended Optional Courses
Course Language Turkish
Course Level yuksek_lisans
Course Type Optional
Course Coordinator Prof.Dr. AZİZ KUTLAR
Course Lecturers
Course Assistants Research Assistants of the Department
Course Category
Course Objective It aims analyzing historical economic data
Course Content The first part of the course is devoted to standard time series topics, such as univariate and multivariate models, both stationary and non-stationar.The other part of the course focuses on selected themes of interest, such as non-linear models, Generalized Method of oments, and some financial applications. The course is quantitatively oriented and students are expected to use SPSS, Eviews, or Matlab to solve homework assignments.
# Course Learning Outcomes Teaching Methods Assessment Methods
1 It defines economic data most of which are time series Lecture, Oral Exam,
2 It explains the time series theory Lecture, Oral Exam,
3 It defines the economic time series Lecture, Drilland Practice, Problem Solving, Oral Exam, Homework,
4 It controls whether or not the time series are stationary Lecture, Problem Solving, Testing,
5 It covers the stationarity tests Lecture, Testing,
6 It covers the heteroscedasticity Lecture, Problem Solving, Homework,
7 It defines the cointegration Lecture, Discussion, Testing, Homework,
8 It selects the appropriate model compatible with data Lecture, Discussion, Testing,
9 It covers long-run analysis Lecture, Discussion, Testing, Homework,
10 It covers the time series analysis and methods Lecture, Discussion, Testing, Homework,
11 It introduces the econometric programme Lecture, Testing,
12 It introduces the econometric programme application Lecture, Testing, Homework,
13 It introduces forecasting Lecture, Discussion, Testing, Homework,
14 It introduces economic policy Lecture, Discussion, Homework, Testing,
Week Course Topics Preliminary Preparation
1 Introduction to Time Series Data Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
2 Theory of Time-Series Models Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
3 Economic Time Series Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
4 Stationarity Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
5 Stationarity Tests Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
6 Heteroscedasticity Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
7 Cointegration Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
8 Model Selection Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
9 Midterm Exam Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
10 Long Term Analysis Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
11 Statistical Tests Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
12 Econometric Programme Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
13 Application Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
14 Forecasting Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
Resources
Course Notes Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
Course Resources Andrew C. Harvey (1992). Forecasting, Structural Time Series Models and the Kalman Filter.
Bruce L. Bowerman, Richard T. OConnel, and Anne B. Koehler (2005). Forecasting, Time
Cambridge, GB : Cambridge University Press.
James D. Hamilton (1994), Time Series Analysis, Princeton University Press, New Jersey.
Juselius, K., The Cointegrated VAR Model, Methodology and Applications. Oxford University
Keith Cuthbertson and Dirk Nitzsche (2004), Quantitative Financial Economics, 2nd ed., John
Michael P. Clements and David F. Hendry (1999). Forecasting non-stationary economic time
Press, 2007
Thomas J. Sargent (1986) , Macroeconomic Theory, 2nd edition, New York: Academic Press.
Thomson/South-Western, 2003.
Walter Enders (2004), Applied Econometric Time Series, 2nd ed., John Wiley & Sons, Inc., New
Wiley & Sons, Inc., New Jersey
Order Program Outcomes Level of Contribution
1 2 3 4 5
1 they constitute an idea in economic subjects analitically and advocacy this idea coherent and critique the ideas constituted by others X
2 -They have knowledge about the microeconomic theory, financial economic and macroeconomics with numerical and graphical methods X
3 They know econometric theories and have ability to solve economic problems by using these theories X
4 X
5 They are specialists at some of theese areas:public economics, industrial economics,money and banking economics, environment and natural sources economics, labour economics, knowledge and property economics, international trade and finance economics, economic growth and development X
6 they use basic computer programs helping to make economic analysis X
7 they have proffecional, social and scientific etic value X
Evaluation System
Semester Studies Contribution Rate
1. Ara Sınav 25
1. Ödev 37
2. Ödev 38
Total 100
1. Yıl İçinin Başarıya 20
1. Final 80
Total 100
ECTS - Workload Activity Quantity Time (Hours) Total Workload (Hours)
Course Duration (Including the exam week: 16x Total course hours) 16 5 80
Hours for off-the-classroom study (Pre-study, practice) 16 5 80
Mid-terms 1 15 15
Assignment 1 2 2
Total Workload 177
Total Workload / 25 (Hours) 7.08
dersAKTSKredisi 7