Ders Bilgileri

#### Ders Tanımı

Ders Kodu Yarıyıl T+U Saat Kredi AKTS
TIME SERIES ANALYSIS UFI 516 0 3 + 0 3 7
 Dersin Dili Türkçe Dersin Seviyesi Yüksek Lisans Dersin Türü SECMELI Dersin Koordinatörü Prof.Dr. AZİZ KUTLAR Dersi Verenler Dersin Yardımcıları Research Assistants of the Department Dersin Kategorisi Dersin Amacı It aims analyzing historical economic data Dersin İçeriği 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.
 Dersin Öğrenme Çıktıları Öğretim Yöntemleri Ölçme Yöntemleri 1 - It defines economic data most of which are time series 1 - B - 2 - It explains the time series theory 1 - B - 3 - It defines the economic time series 1 - 4 - 15 - B - C - 4 - It controls whether or not the time series are stationary 1 - 15 - A - 5 - It covers the stationarity tests 1 - A - 6 - It covers the heteroscedasticity 1 - 15 - C - 7 - It defines the cointegration 1 - 3 - A - C - 8 - It selects the appropriate model compatible with data 1 - 3 - A - 9 - It covers long-run analysis 1 - 3 - A - C - 10 - It covers the time series analysis and methods 1 - 3 - A - C - 11 - It introduces the econometric programme 1 - A - 12 - It introduces the econometric programme application 1 - A - C - 13 - It introduces forecasting 1 - 3 - A - C - 14 - It introduces economic policy 1 - 3 - A - C -
 Öğretim Yöntemleri: 1:Lecture 4:Drilland Practice 15:Problem Solving 3:Discussion Ölçme Yöntemleri: B:Oral Exam C:Homework A:Testing

#### Ders Akışı

Hafta Konular ÖnHazırlık
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

#### Kaynaklar

Ders Notu Kutlar, Aziz (2000) Zaman Serileri, Gazi yayın. Ankara
Ders Kaynakları 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

#### Dersin Program Çıktılarına Katkısı

No Program Öğrenme Çıktıları KatkıDüzeyi
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

#### Değerlendirme Sistemi

YARIYIL İÇİ ÇALIŞMALARI SIRA KATKI YÜZDESİ
AraSinav 1 25
Odev 1 37
Odev 2 38
Toplam 100
Yıliçinin Başarıya Oranı 20
Finalin Başarıya Oranı 80
Toplam 100

#### AKTS - İş Yükü

Etkinlik Sayısı Süresi(Saat) Toplam İş yükü(Saat)
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
Toplam İş Yükü 177
Toplam İş Yükü /25(s) 7.08
Dersin AKTS Kredisi 7.08
; ;