Advanced Time Series Analysis (Summer 2023)

Lecturer: Dr. Constantin Weiser
Lecture ID: 6210 (lecture), 6215 (tutorial)
Contact Time: 2h Lecture + 2h Tutorial
Credits: 6 ECTS for Master Students

Thur. 12:15-13:45, RW 3 (lecture)

Thur. 14:15-14:45, PC-Pool 00-275 (tutorial)

Start: 27.04.2023 12:15, RW 3
Language: English




Here we focus on structural changes in time series. Visualization, detection, testing and modeling of such changes.

We'll start with simple methods like exponential smoothing or rolling regression. Then we introduce the framework of general state space models. Applications are trained with Stata.



Solid knowledge of statistics in general and probability theory in particular. Interest in data work with statistics software (here Stata). Willingness to actively participate.



Homework, to be submitted at the end of the semester


Course materials will be downloadable from the e-learning platform ILIAS.