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390055 UK PhD-E: Econometrics of Seasonality (2015W)

Econometrics of Seasonality

4.00 ECTS (2.00 SWS), SPL 39 - Doktoratsstudium Wirtschaftswissenschaften
Continuous assessment of course work

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 25 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Monday 05.10. 11:30 - 13:00 Seminarraum 3 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 12.10. 11:30 - 13:00 Seminarraum 3 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 19.10. 11:30 - 13:00 Seminarraum 3 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 09.11. 11:30 - 13:00 Seminarraum 3 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 16.11. 11:30 - 13:00 Seminarraum 3 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 23.11. 11:30 - 13:00 Seminarraum 3 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 30.11. 11:30 - 13:00 Seminarraum 3 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 07.12. 11:30 - 13:00 Seminarraum 3 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 14.12. 11:30 - 13:00 Seminarraum 3 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 11.01. 11:30 - 13:00 Seminarraum 3 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 18.01. 11:30 - 13:00 Seminarraum 3 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 25.01. 11:30 - 13:00 Seminarraum 3 Oskar-Morgenstern-Platz 1 1.Stock

Information

Aims, contents and method of the course

This course focuses on the topic of seasonality in economic time series. It is based on the monograph "The Econometric Analysis of Seasonal Time Series" by Eric Ghysels and Denise R. Osborn (Cambridge University Press, 2001). In particular, it addresses the following issues:

1. Introduction to seasonal processes (basic concepts of diverse models of seasonality)
2. Deterministic seasonality (seasonal dummies, tests with dummy seasonality as the null hypothesis, e.g. the Canova-Hansen test)
3. Seasonal unit-root processes (seasonal random walk, tests with complex unit roots as their null, e.g. the HEGY test)
4. Periodic processes
5. Seasonal adjustment

Assessment and permitted materials

In the first half of the term, the instructor presents the topics listed in the course outline. This part closes with a short midterm test (closed-book, 45% weight in the final grade). In the second half of the term, participants take over and give presentations. The topics of these presentations can be more advanced analyses of already addressed topics, parts of the monograph that have not yet been covered, or small empirical projects on seasonal data. Presenters turn in written summaries of their work by the end of the term. This part carries 55% weight in the final grade.

Minimum requirements and assessment criteria

Familiarity with the most widely applied procedures for handling economic data with a seasonal structure

Examination topics

Lecturing, discussion, presentations by participants, small empirical projects

Reading list

Philip Hans Franses: "Periodicity and Stochastic Trens in Economic Time Series" (Oxford University Press, 1996)

Association in the course directory

Last modified: Mo 07.09.2020 15:46