GAZI UNIVERSITY INFORMATION PACKAGE - 2019 ACADEMIC YEAR

COURSE DESCRIPTION
NONLINEAR TIME SERIES MODELS/5080057
Course Title: NONLINEAR TIME SERIES MODELS
Credits 3 ECTS 7.5
Semester 2 Compulsory/Elective Elective
COURSE INFO
 -- LANGUAGE OF INSTRUCTION
  Turkish
 -- NAME OF LECTURER(S)
  Assoc. Prof. Dr. Senay ACIKGOZ
 -- WEB SITE(S) OF LECTURER(S)
  http://www.websitem.gazi.edu.tr/site/asenay
 -- EMAIL(S) OF LECTURER(S)
  asenay@gazi.edu.tr
 -- LEARNING OUTCOMES OF THE COURSE UNIT
Understands the basic principles of non-linear time series models.
Understands testing nonlinearty.
Learns the importance of the concept of regime change in time series analysis.






 -- 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
  Dynamic Analysis and Time Series Analysis
 --COURSE CONTENT
1. Week  Introduction to Dynamic Systems: Nonlinearity, multiple equilibrium and chaos
2. Week  Introduction to Dynamic Systems: From Linear Oscillations to Non-linear Oscillations
3. Week  Differential Equations: Introduction and Local Linearization of Non-linear Differential Equations
4. Week  Linear Difference Equations – Chaos and Nonlinearity Phenomena in Discrete Time
5. Week  Computer Programming for Dynamic Economics, and Time Series Analysis
6. Week  Computer Programming for Dynamic Economics, and Time Series Analysis and Applications
7. Week  MIDTERM
8. Week  Non-linear Time Series Models: Introduction and Non-linear Regression
9. Week  Testing Nonlinearity
10. Week  Bilinear Model
11. Week  Treshold Autoregressive Model
12. Week  Smooth Transition AR Model (STAR)
13. Week  Regime Switching Models
14. Week  Regime Switching Models: Markov Regime Switching-I
15. Week  Regime Switching Models: Markov Regime Switching-I
16. Week  FINAL
 -- RECOMMENDED OR REQUIRED READING
  AÇIKGÖZ, Şenay (2007), İktisadi Büyümenin Kaynakları: Doğrusal Olmayan Dinamiklik, Oynaklık ve Yapısal Değişim, YayınlanmamışDoktora Tezi, Gazi Üniversitesi Sosyal Bilimler Enstitüsü Ekonometri Anabilim Dalı, Ankara 2007. BİLDİRİCİ, M., ALP, E. A., ERSİN, O. O. ve BOZOKLU, Ü.; İktisatta Kullanılan Doğrusal Olmayan Zaman Serisi Yöntemleri, Türkmen Kitabevi, 2010. FRANSES, P. H. and DIJK, Dick Van; Non-linear Time Series Models in Empirical Finance, Cambridge University Press, 2000. GRANGER, C. W. J. and TERÄSVIRTA, T.; Modelling Nonlinear Economic Relationships, Oxford: Oxford University Pres 1993. KIM, Chang-Jin and NELSON, C. R.; State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications, The MIT Press, 1999. TONG, H.; Non-linear Time Series: A Dynamical System Approach, Oxford University Pres, Oxford, 1990. TSAY, R. S.; Analysis of Financial Time Series, Wiley Series in Probability and Statistics, John Wiley and Sons, 2002.
 -- PLANNED LEARNING ACTIVITIES AND TEACHING METHODS
  Lecture, Question & Answer, Demonstration, Drill - Practise
 -- WORK PLACEMENT(S)
  Not Applicable
 -- ASSESSMENT METHODS AND CRITERIA
 
Quantity
Percentage
 Mid-terms
1
30
 Assignment
1
40
 Exercises
0
0
 Projects
0
0
 Practice
0
0
 Quiz
1
30
 Contribution of In-term Studies to Overall Grade  
40
 Contribution of Final Examination to Overall Grade  
60
 -- 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
3
3
9
 Reading
12
3
36
 Searching in Internet and Library
12
3
36
 Designing and Applying Materials
12
3
36
 Preparing Reports
3
3
9
 Preparing Presentation
1
3
3
 Presentation
1
3
3
 Mid-Term and Studying for Mid-Term
0
 Final and Studying for Final
3
3
9
 Other
0
 TOTAL WORKLOAD: 
177
 TOTAL WORKLOAD / 25: 
7.08
 ECTS: 
7.5
 -- COURSE'S CONTRIBUTION TO PROGRAM
NO
 PROGRAM LEARNING OUTCOMES
1
2
3
4
5
1X
2X
3
4X
5X
6X
7X
8X
9X
10X