Time Series Analysis
The purpose of the subject is to familiarize students with the basic methods of econometric analysis of time series. This is an econometric area that has been extensively developed in the last thirty years. This means that students will have the opportunity to learn modern econometric methods.
| Code : | И17КАВС |
|---|---|
| Status: | E |
| Semestar: | 7th or 8th |
| Number of classes per week: | 3+2 |
| ЕECTS: | 5 |
| Teachers: | |
| Prerequisites: | |
| Learning Outcomes (gained knowledge): | Methods of time series analysis are the basis for the adoption of relevant economic conclusions. Through their application students will be able to predict the movement of economic values and simulate the effects of economic policy. In order for the obtained results to be reliable, econometric methods should be correctly and properly applied. |
| Subject Contents: | Descriptive methods in time series analysis; Elementary notions in time series analysis; Models of univariate stationary time series; Models of univariate non-stationary time series; Modeling by applying Box-Jenkins approach; Modelling the seasonal component and structural fracture; Models of multivariate time series. |
| Teaching Methods and Learning Activities: | Theoretical models of time series analysis will be presented in lecture classes. Special attention will be paid to the performance of the relevant theoretical results. Through simple tasks, in which solving students will also participate, properties of the addressed models will be additionally explained. Application of time series models will be considered in the economic analysis. The results of modeling of time series of the Serbian economy that lecturers have got by using explained econometric models will be also presented. |
| Literature: | Mladenović, Z.; Nojković, A. (2012). Applied Time Series Analysis. Belgrade: Faculty of Economics. |
| Types of Assessment for the subject: | Colloquium I (0-20 points); Colloquium II (0-20 points); Final exam (0-50 points); Attendance (2point); Class activities (seminar papers, discussions, case studies) (0-8 points) |
| Special Remarks for the subject: |