• know about conditioning in the multivariate normal
distribution as well as ordinary and generalized least squares
methods
• are able to understand a time series as a stochastic process and
understand the connection between stochastic processes and
dynamical systems, and in particular the Box-Jenkins models
(ARMA-type models)
• know about various stationarity and non-stationarity concepts for
Time Series: Weak and strong stationarity, causality,
autocovariance- and autocorrelation functions, integrated models,
long memory models, volatility models, and basic state-space models
• know about various modern time series and econometric models
within financial econometrics and financial engineering in discrete
time
• are able to interpret the statistical and possibly econometric
properties of time series
• are able to implement all phases in a classical time series
analysis: Identification, estimation, diagnostic checking,
prediction, and statistical/econometric interpretation
• are able to use correlograms and other graphical tools in the
identification phase
• are able to apply and make themselves acquainted with new
statistical methods to analyse time series
• are able to apply the concepts from time series in an
econometric or other broader context
• are able to perform qualified econometric analyses of financial
and other data including estimation and prediction using available
software
• are able to reflect on the discipline's approach to academic
problems at a high level and the discipline's relationship to
other subject areas
• are able to involve the knowledge area in solving complex
problems and thus achieve a new understanding of a given subject
area
As described in §17.
This is a 5 ECTS course module and the work load is expected to be 150 hours for the student.
Name of exam | Time Series and Econometrics |
Type of exam | Written or oral exam |
ECTS | 5 |
Assessment | 7-point grading scale |
Type of grading | Internal examination |
Criteria of assessment | As stated in the Joint Programme Regulations.
http://www.engineering.aau.dk/uddannelse/Studieadministration/ |
Danish title | Tidsrækkeanalyse og økonometri |
Module code | F-MOK-B6-3 |
Module type | Course |
Duration | 1 semester |
Semester | Spring
|
ECTS | 5 |
Language of instruction | Danish and English |
Empty-place Scheme | Yes |
Location of the lecture | Campus Aalborg |
Responsible for the module |
Study Board | Study Board of Mathematics, Physics and Nanotechnology |
Department | Department of Mathematical Sciences |
Faculty | Faculty of Engineering and Science |