BPE_CARA Time Series

Faculty of Economics and Administration
Spring 2010
Extent and Intensity
2/2/0. 13 credit(s). Type of Completion: zk (examination).
Teacher(s)
Mgr. Hana Fitzová, Ph.D. (lecturer)
Mgr. Hana Fitzová, Ph.D. (seminar tutor)
prof. Ing. Osvald Vašíček, CSc. (lecturer)
RNDr. Dalibor Moravanský, CSc. (lecturer)
Guaranteed by
Mgr. Hana Fitzová, Ph.D.
Department of Economics – Faculty of Economics and Administration
Contact Person: Lydie Pravdová
Timetable
Tue 12:50–14:30 VT206
  • Timetable of Seminar Groups:
BPE_CARA/01: Tue 14:35–16:15 VT206, D. Moravanský
Prerequisites (in Czech)
(( BPM_STA2 Statistics 2 || PMSTII Statistics II ) &&( BPE_ZAEK Introduction to Econometrics ))&&(! PMEM2A Math Methods in Economics II )
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
The capacity limit for the course is 330 student(s).
Current registration and enrolment status: enrolled: 0/330, only registered: 0/330, only registered with preference (fields directly associated with the programme): 0/330
fields of study / plans the course is directly associated with
there are 12 fields of study the course is directly associated with, display
Course objectives
The course is devoted to mathematical-statistical approaches to the analysis of economic processes described by time series. The introductory part of the course is focused on the decomposition approach to the time series analysis. The second part of the course deals with the Box-Jenkins methodology of the time series analysis. The students will learn the procedures of identification of a suitable model of the time series and the criteria for the suitable model verification. The last section of the course will be devoted to business cycle analysis. Business cycles will be analyzed with help of selected filtration methods.
All studied areas will place emphasis on the students' ability to use the gained knowledge in practice.
The main objective of the course is to provide the students with knowledge and skills, which are necessary for practical utilization of the time series analysis. At the end of the course the students should be able to analyze real data, create a suitable model for the data, construct future forecasts, evaluate and interpret gained outcomes and understand information about time series.
Syllabus
  • 1. Decomposition approach to the time series analysis: time series, model of linear regression (summary of the required knowledge), trend in the time series, moving average, exponential adjustment, analysis of the seasonality.
  • 2. Modelling of one-dimensional time series: autocorrelation properties of the time series, basic models of the Box-Jenkins methodology (AR, MA and ARMA models), identification and diagnostics of the model (selection of the order of the model, stability tests), ARIMA models.
  • 3. Autoregression models with conditional heteroskedasticity: volatility modelling, ARCH models, GARCH models.
  • 4. Modelling of the multidimensional time series: principle and methods of the estimation, impulse responses, Granger causality, cointegration in the time series, error correction models.
  • 5. Business cycle analysis: selected problems of filtration e. g. Hodrick-Prescott filter, Band pass filter; Blanchard-Quah decomposition.
Literature
  • Arlt, Josef; Arltová, Markéta: Ekonomické časové řady. Professional Publishing 2009. ISBN 978-80-86946-85-6.
  • CIPRA, Tomáš. Finanční ekonometrie. 1. vyd. Praha: Ekopress, 2008, 538 s. ISBN 9788086929439. info
  • ENDERS, Walter. Applied econometric time series. 2nd ed. Hoboken: John Wiley & Sons, 2004, xiv, 460. ISBN 0471230650. info
Teaching methods
lectures, computer labs practices, class discussion, homework, individual project
Assessment methods
The course consists of lectures and seminars. The course is concluded by the oral exam. Students can attend the exam if they fulfill these conditions: active attendance at the seminars, passing two tests during the semester and successful solution of the semestral project.
Language of instruction
Czech
Follow-Up Courses
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
General note: Nezapisují si studenti, kteří absolvovali předmět PMEM2A.
Information on course enrolment limitations: max. 30 cizích studentů; cvičení pouze pro studenty ESF
The course is also listed under the following terms Spring 2011, Spring 2012, Spring 2013, Spring 2014, Spring 2015, Spring 2016, Spring 2017, Spring 2018, Spring 2019, Spring 2020, Spring 2021, Spring 2022, Spring 2023, Spring 2024, Spring 2025.
  • Enrolment Statistics (Spring 2010, recent)
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