Time Series Analysis
Content
Objective
To create the concept of dynamic systems in graduate students. To show that dynamic systems have different modeling according to the situations encountered
Course Content
Adapting dynamical systems to social science problems and observations, teaching stochastic processes and especially autoregressive processes as required, and testing their dynamic properties.
The use of these tests to investigate the validity of certain assumptions of economic theory and financial theory, to discuss the theorems and hypotheses that have lost their validity, and to provide the necessary infrastructure in the student in order to model in accordance with current developments.
Course Learning Outcomes
Dynamic systems, Autoregressive processes, stagnation analysis in Autoregressive processes, volatility analysis, application to monetary sizes, learning to use statistical programs, economic and financial modeling methods in non-linear space, cross-section applications
Teaching and Learning Methods
Theoretical proof and statistical program applications
References
J.D. Hamilton Time Series Analysis
Hayashi Econometrics,
Mishkin Money, Banking and Financial systems
Banarjee et al. Co-integration
Malkiel non-random walk
Aumann agreeing to disagree
Ozkaya, Karanfil estimation of unrecorded economy
Weekly Contents
| Week | Weekly Contents |
|---|---|
| 1 | Dynamic systems - Kalman |
| 2 | Kalman filter - supply and demand test |
| 3 | Fama - Malkiel EMH |
| 4 | Aumann Agreeing to disagree |
| 5 | Geonokoplos-Polermarchakis |
| 6 | EUT - von Neumann , J. Nash, SEUT - Savage, Gilboa |
| 7 | AR(p), MA(q) Hamilton 3. - 4. Chapter |
| 8 | ARIMA (p,d,q) Hamilton 17.Chapter |
| 9 | ADF, PP, KPSS Stochastic process |
| 10 | Ozkaya, Karanfil Estimation of unrecorded economy |
| 11 | CB volatility analysis and GARCH analysis |
| 12 | FOREX, appliction |
| 13 | Gold ounce, Oil prices uygulama |
| 14 | Lineer - olmayan stokastik süreç örneği |
Assessment System
| Activities | Number | Contribution |
|---|---|---|
| Contribution of in-term studies to overall grade | 10 | 40 |
| Contribution of final exam to overall grade | 2 | 60 |
| Total | 12 | 100 |
| Activities | Number | Contribution |
|---|---|---|
| Assignments | 12 | 20 |
| Presentation | 2 | 60 |
| Midterm Examinations (including preparation) | 0 | 0 |
| Project | 0 | 0 |
| Laboratory | 0 | 0 |
| Other Applications | 2 | 10 |
| Quiz | 0 | 0 |
| Term Paper/ Project | 1 | 10 |
| Portfolio Study | 0 | 0 |
| Reports | 0 | 0 |
| Learning Diary | 0 | 0 |
| Thesis/ Project | 0 | 0 |
| Seminar | 0 | 0 |
| Other | 0 | 0 |
| Make-up | 0 | 0 |
| Total | 17 | 100 |
ECTS
| Activities | Number | Period | Total Workload |
|---|---|---|---|
| Class Hours | 14 | 3 | 42 |
| Working Hours out of Class | 14 | 3 | 42 |
| Assignments | 13 | 1 | 13 |
| Presentation | 2 | 20 | 40 |
| Midterm Examinations (including preparation) | 1 | 10 | 10 |
| Project | 0 | 0 | 0 |
| Laboratory | 0 | 0 | 0 |
| Other Applications | 0 | 0 | 0 |
| Final Examinations (including preparation) | 0 | 0 | 0 |
| Quiz | 0 | 0 | 0 |
| Term Paper/ Project | 0 | 0 | 0 |
| Portfolio Study | 0 | 0 | 0 |
| Reports | 0 | 0 | 0 |
| Learning Diary | 0 | 0 | 0 |
| Thesis/ Project | 0 | 0 | 0 |
| Seminar | 0 | 0 | 0 |
| Other | 0 | 0 | 0 |
| Make-up | 0 | 0 | 0 |
| Yıl Sonu | 0 | 0 | 0 |
| Hazırlık Yıl Sonu | 0 | 0 | 0 |
| Hazırlık Bütünleme | 0 | 0 | 0 |
| Total Workload | 147 | ||
| Total Workload / 25 | 5.88 | ||
| Credits ECTS | 6 | ||