3403714: Econometrics and time series analysis

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Semester:WS 12/13
Scheduled in semester:1
Semester Hours per Week / Contact Hours:45.0 L / 34.0 h
Self-directed study time:116.0 h

Module coordination/Lecturers


Master's degree programme in Banking and Financial Management (01.10.2008)


  • The General Linear Model of Econometrics
  • Single Equation Models
  • Multiple Equation Models
  • Hypotheses Tests (significance, normal distribution, auto-correlation, etc.)
  • Data Collection, specifically financial market time series
  • Empirical description of time series
  • Time Series Stationarity
  • Co-Integration and Error-Correction Model
  • Econometric Application in Financial Market Econometrics
  • Categorial Data in Econometrics (logit and probit model )
  • Econometric Applications in Gretl

Learning Outcomes

  • Illustrating the general econometric linear model
  • Demonstrating estimation procedure in single and multiple equation models
  • Choosing tests to confirm or reject general hypotheses
  • Comparing models for time series prognosis
  • Applying econometric methods in financial market theory
  • Considering procedures and particularities in collecting categorial data
  • Applying software for calculating econometric models


Lectures Method

Interactive lecture with exercises


Required reading:

  • Veerbek, M. (2008). A Guide to Modern Econometrics. New York: John Wiley.
  • Davidson, R. / MacKinnon, J.G. (2004). Econometric Theory and Methods. Oxford University Press.

Recommended reading:
  • Wooldridge, J. (2005). Introductory Econometrics: A Modern Approach. Cengage Learning/ Thomson.
  • Schröder, M. (2002). Finanzmarkt-Ökonometrie. Stuttgart: Schäffer-Poeschel.
  • Hamilton, J. D. (1994). Time Series Analysis. New Jersey: Princeton University Press.
  • Campbell, J. / Lo, A. / MacKinley, A.C. (1997): The Econometrics of Financial Markets. New Jersey: Princeton University Press.
  • Wooldridge, J.M. (2002): Econometric Analysis of Cross Section and Panel Data. Cambridge, MA: MIT Press.
  • Greene, W. H. (2002): Econometric Analysis. Prentice Hall International.


Lecture slides, exercises, sample questions will be available on the moodle.

Exam Modalities

  • Written examination with 120 minutes editing time (66.6%)


25.10.201209:00 - 16:30H4
26.10.201209:00 - 16:30H4
27.10.201209:00 - 16:30H4
06.12.201209:00 - 16:30H4
07.12.201209:00 - 16:30H4