GAZI UNIVERSITY INFORMATION PACKAGE - 2019 ACADEMIC YEAR

COURSE DESCRIPTION
MULTIVARIATE TIME SERIES ANALYSIS/7700056
Course Title: MULTIVARIATE 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 Yalçın
 -- 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 do econometric analysis for non-stationary time series data
Students can do forecasting by using econometric 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  Basic Concepts: Equilibrium relationships and long run, Equilibrium and the specification of dynamic models
2. Week  Stochastic Processes and Time Series Models
3. Week  Convergenge in Probability and Convergence in Distribution, Exogeneity, Functions of Deterministic Trends, Monte Carlo simulation
4. Week  Linear Transformations,
5. Week  Error Correction, and the long run in Dynamic Regression
6. Week  Porperties of Integrated Processes,
7. Week  Testing for a Unit Root: Standard ADF
8. Week  Testing for a Unit Root with break point
9. Week  The concept of Co-integration
10. Week  Engle-Grandger two step procedure
11. Week  Co-integration in dynamic models
12. Week  Co-integration and Error Correction Model
13. Week  Co-integration in systems of equations
14. Week  Estimating co-integrating vectors in systems
15. Week  Practices in computer
16. Week  Practices in computer
 -- RECOMMENDED OR REQUIRED READING
  1. Banerjee A., Dolado J, Galbraith J. W. ve Hendry D. F, Co-integration, Error Correction, and The Econometric Analysis of Non-satationary Data, Oxford Unuversity Pres, 1993 2. Charemza W. W. ve Deadman D. F., New Directions in Econometric Practice, Edward Elgar, 1999
 -- PLANNED LEARNING ACTIVITIES AND TEACHING METHODS
  Lecture
 -- WORK PLACEMENT(S)
  Not Applicable
 -- 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
14
4
56
 Practising Hours of Course Per Week
13
3
39
 Reading
13
2
26
 Searching in Internet and Library
13
2
26
 Designing and Applying Materials
14
2
28
 Preparing Reports
0
 Preparing Presentation
0
 Presentation
0
 Mid-Term and Studying for Mid-Term
2
3
6
 Final and Studying for Final
2
4
8
 Other
0
 TOTAL WORKLOAD: 
189
 TOTAL WORKLOAD / 25: 
7.56
 ECTS: 
7.5
 -- COURSE'S CONTRIBUTION TO PROGRAM
NO
 PROGRAM LEARNING OUTCOMES
1
2
3
4
5
1Having the professional expertise and skills on theoretical and practical aspect of econometrics.X
2Having appropriate behavior of econometricsin the field of social, scientific, cultural and ethical values, applicability of gained knowledge and skills in accordance with the principle of responsibility to social and working life.X
3Having skills about selecting, using and evaluating of appropriate econometrics and statistical programming methods, based on theoretical and practical knowledge acquired in the field related to the current problems faced by.X
4Having skills to work with the team for reach fruitful results in interdisciplinary and interdisciplinary studies.X
5Having knowledge of research methods in the field of institutions and organizations planning projects, managing in order to conduct independent research.X
6Using some of the advanced level econometrics and statistical software programs.X
7Having skills about information system related to the fields in working life.
8Having qualities for analytical thinking, prospecting and bring scientific solutions to problems as a researcher.
9Having skills to comprehension, application and evaluation about terms and basic theory of operational research.
10Having the professional expertise and skills on theoretical and practical aspects of operational research.