PAÜ .:. Eğitim Öğretim Bilgi Sistemi

COURSE INFORMATION

Course Code	Course Title	L+P Hour	Semester	ECTS
EKNM 402	TIME SERIES ANAYSIS - II	3 + 0	8th Semester	5

COURSE DESCRIPTION

Course Level	Bachelor's Degree
Course Type	Compulsory
Course Objective	The aim of this lecture is to introduce to time series econometrics.
Course Content	Seasonality, Stationarity, Unit root, Cointegration, Causality
Prerequisites	EKNM 401 TIME SERIES ANAYSIS - I
Corequisite	EKNM 302 ECONOMETRICS - II
Mode of Delivery	Face to Face

COURSE LEARNING OUTCOMES

1	Understanding seasonality properties of time series
2	Stationarity and Unit Root Analysis
3	VAR Models
4	Cointegration
5	Causality

COURSE'S CONTRIBUTION TO PROGRAM

	PO 01	PO 02	PO 03	PO 04	PO 05	PO 06	PO 07	PO 08	PO 09	PO 10	PO 11	PO 12
LO 001	1	1	5	5	3	2	1	3	2	4	5	5
LO 002	4	4	5	5	5	5	1	5	5	5	5	5
LO 003	5	5	5	5	5	5	1	4	5	5	5	5
LO 004	3	4	5	3	5	5	2	5	5	5	5	5
LO 005	3	4	5	3	5	5	2	5	5	5	5	5
Sub Total	16	18	25	21	23	22	7	22	22	24	25	25
Contribution	3	4	5	4	5	4	1	4	4	5	5	5

ECTS ALLOCATED BASED ON STUDENT WORKLOAD BY THE COURSE DESCRIPTION

Activities	Quantity	Duration (Hour)	Total Work Load (Hour)
Course Duration (14 weeks/theoric+practical)	14	3	42
Hours for off-the-classroom study (Pre-study, practice)	14	3	42
Assignments	1	10	10
Mid-terms	1	16	16
Final examination	1	20	20
Total Work Load ECTS Credit of the Course			130 5

COURSE DETAILS

Select Year

Course Details

Course Code	Course Title	L+P Hour	Course Code	Language Of Instruction	Course Semester
EKNM 402	TIME SERIES ANAYSIS - II	3 + 0	1	Turkish	2023-2024 Spring

Course Coordinator	E-Mail	Phone Number	Course Location	Attendance
Assoc. Prof. Dr. SİNEM GÜLER KANGALLI UYAR	skangalli@pau.edu.tr		İİBF C0204	%70

Goals		The aim of this lecture is to introduce to time series econometrics.
Content		Seasonality, Stationarity, Unit root, Cointegration, Causality

Topics

Weeks	Topics
1	The stationarity of time series
2	The study of stationarity: Autocovariance function, Autocorrelation function, Correlogram, Box Test, Ljung-Box test
3	Unit root tests without structural breaks:Dickey-Fuller, Augmented Dickey-Fuller, Phillips-Perron, Ng and Perron, DF-GLS, KPSS
4	Yapısal kırılmayı dikkate almayan birim kök testleri: Dickey-Fuller, Genişletilmiş Dickey-Fuller,Joint test, Phillips-Perron, Ng ve Perron, DF-GLS, KPSS
5	Unit root tests with structural breaks: Perron, Zivot-Andrews, Lumsdaine-Papell, Lee-Strazicich, Kapetanios, Bai-Berron
6	Unit root tests with structural breaks: Perron, Zivot-Andrews, Lumsdaine-Papell, Lee-Strazicich, Kapetanios, Bai-Berron
7	Cointegration
8	Cointegration
9	ARDL Model and Granger Causality
10	VAR Model and analysis: Impulse-response functions and variance decomposition analysis
11	VAR Model and analysis: Impulse-response functions and variance decomposition analysis
12	Structural VAR Model and Error Corrected Mechanism (ECM)
13	VECM Model
14	VECM Model

Materials

Materials are not specified.

Resources

Resources	Resources Language
Gebhard Kirchgässner, Jürgen Wolters (2007), Introduction to Modern Time Series Analysis, Springer.	Türkçe
Kerry Patterson (2011), Unit Root Tests in Time Series, PALGRAVE MACMILLAN	Türkçe
Walter Anders (2015), Applied Econometric Time Series, Wiley.	Türkçe

Course Assessment

Assesment Methods	Percentage (%)	Assesment Methods Title
Final Exam	60	Final Exam
Midterm Exam	40	Midterm Exam 1

L+P: Lecture and Practice
PQ: Program Learning Outcomes
LO: Course Learning Outcomes

Prospective Student