GAZI UNIVERSITY INFORMATION PACKAGE - 2019 ACADEMIC YEAR

COURSE DESCRIPTION

TIME SERIES ANALYSIS/4080041

Course Title:	TIME SERIES ANALYSIS
Credits	3	ECTS	7.5
Semester	1	Compulsory/Elective	Elective

COURSE INFO

-- LANGUAGE OF INSTRUCTION

Turkish

-- NAME OF LECTURER(S)

Assoc. Prof. Yeliz YALCIN

-- WEB SITE(S) OF LECTURER(S)

http://websitem.gazi.edu.tr/site/yyeliz

-- EMAIL(S) OF LECTURER(S)

yyeliz@gazi.edu.tr

-- LEARNING OUTCOMES OF THE COURSE UNIT

Students can specify multivariate time series models
Students can do forecasting via multivariate time series models.
Students can do structural analysis by using multivariate time series models.

-- MODE OF DELIVERY

The mode of delivery of this course is Face to face

-- PREREQUISITES AND CO-REQUISITES

There is no prerequisite or co-requisite for this course.

-- RECOMMENDED OPTIONAL PROGRAMME COMPONENTS

Basic Statistics

--COURSE CONTENT
1. Week	Dickey-Fuller Unit Root Tests
2. Week	Seasonal Unit Root Tests
3. Week	Unit Root Test under Structural Breaks
4. Week	Engle-Granger Cointegration Analysis
5. Week	Vector Autoregressive Models -Identification problem
6. Week	Impulse-responses Analysis Variance Decomposition of Forecat Errors
7. Week	Granger Causality Test Sims Causality Test
8. Week	Midterm
9. Week	Johansen Cointegration Analysis Trace and Max Eigenvalue Tests Exogeneity Concept
10. Week	Weak Exogeneity Tests
11. Week	Structural Vector Autoregressive Models-I
12. Week	Structural Vector Autoregressive Models-II
13. Week	Time Series Models of Heteroskedasticity-I
14. Week	Time Series Models of Heteroskedasticity-II
15. Week	Eviews Practices
16. Week	Final

-- RECOMMENDED OR REQUIRED READING

1. Hamilton, James.D. (1994) Time Series Analysis, Princeton University Press 2. Akdi, Yılmaz (2010) Zaman Serileri Analizi (Birim Kökler ve Kointegrasyon) Gazi Kitapevi

-- PLANNED LEARNING ACTIVITIES AND TEACHING METHODS

Lecture

-- WORK PLACEMENT(S)

-- ASSESSMENT METHODS AND CRITERIA

	Quantity	Percentage
Mid-terms	1	50
Assignment	0	0
Exercises	0	0
Projects	0	0
Practice	0	0
Quiz	0	0
Contribution of In-term Studies to Overall Grade		50
Contribution of Final Examination to Overall Grade		50

-- WORKLOAD

Efficiency	Total Week Count	Weekly Duration (in hour)	Total Workload in Semester
Theoretical Study Hours of Course Per Week	12	3	36
Practising Hours of Course Per Week	2	3	6
Reading	14	2	28
Searching in Internet and Library	12	2	24
Designing and Applying Materials	14	1	14
Preparing Reports	12	2	24
Preparing Presentation	12	2	24
Presentation	1	3	3
Mid-Term and Studying for Mid-Term	7	2	14
Final and Studying for Final	7	2	14
Other	0	0	0
TOTAL WORKLOAD:			187
TOTAL WORKLOAD / 25:			7.48
ECTS:			7.5

-- COURSE'S CONTRIBUTION TO PROGRAM

NO	PROGRAM LEARNING OUTCOMES	1	2	3	4	5
1						X
2						X
3
4					X
5					X
6				X
7					X
8				X
9					X
10		X

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GAZI UNIVERSITY INFORMATION PACKAGE - 2019 ACADEMIC YEAR