Time Series Econometrics (FS 2016)

Welcome to Time Series Econometrics! A detailed description of what we will cover can be found in the Course Outline.

What's New

I have uploaded some exercises (and old exam papers) with solutions. I have also uploaded the group assignment.
The final exam will be: 25.04.2016 (Monday) at 16.15-18.00 in ROOM 09-011.

Lecture Notes

Access to the lecture notes is password protected.

Topic 1: Lecture Notes Proof of Proposition 1
Topic 2: Lecture Notes
Topic 3: Lecture Notes
Topic 4: Lecture Notes
Topic 5: Lecture Notes

Excercises (with Solutions) and old Exams (with solutions)

Here are some exercises with solutions and old exam papers with solutions.

ARMA Exercises with solutions Old Homework with solutions
Final exam 2010 with solutions Final exam 2011 (no solutions)
Mid-term exam 2012 with solutions Final exam 2013 with solutions


I have uploaded the assignment below. Due Date: 22.04.2016.

Assignment Assignment Data (US real GDP)

Other Material

The Mathematical Review chapter from Hamilton (1994) you can get from here.

Introduction to modern time series analysis by Kirchgässner and Wolters (2007) and (2013) can be found here and here (on-campus access only).

New introduction to multiple time series analysis by L├╝tkepohl (2005) can be found here (on-campus access only).