| Course Type | Elective Course |
|---|
| Course Level | Bachelor's Degree |
|---|
| Year of Study | - |
|---|
| Semester | - |
|---|
| ECTS | 5 |
|---|
| Name of Lecturer(s) |
|
| Learning Outcomes |
At the end of this course, the students;
- Define time series and their properties.
- Test and evaluate the stationarity of time series.
- Analyze and interpret time series models using STATA
software, including structural break unit root tests,
cointegration analysis, error correction model, VAR analysis, and Granger causality test.
|
| Mode of Delivery | Face to face |
|---|
| Prerequisites | No |
|---|
| Recommended Optional Programme Components | EKON341, EKON342 |
|---|
| Course Description | This course provides a theoretical and practical introduction to the economic analysis of time series. It is assumed that the student has a basic understanding of econometrics. The course is application-oriented, allowing the student to implement what they have learned using the STATA software. |
|---|
| Course Contents |
| WEEK |
TOPICS |
|
1st Week |
Introduction to Stata. |
|
2nd Week |
Creating Variables in Stata, Generating Summary Statistics, and Drawing Graphs. |
|
3rd Week |
Time Series Analysis with Stata: What is a Time Series? Definitions of Time Series Components, Deterministic Trend,tochastic Trend, and the Concept of Stationarity in Time Series. |
|
4th Week |
Time Series Analysis with Stata: Unit Root Tests DF and ADF Unit Root Tests, Other Unit Root Tests Phillips-Perron, DF-GLS, and KPSS Tests |
|
5th Week |
Unit Root Tests with Structural Breaks in Stata: Zivot-Andrews and Clemente, Montanes, and Reyes Tests, and Other Tests. |
|
6th Week |
Cointegration Analysis with Stata, Error nCorrection Model (ECM), Engle-Granger Cointegration Test, and Structural Break Cointegration Tests (Gregory-Hansen Test). |
|
7th Week |
Mid-term Exam |
|
8th Week |
Cointegration Analysis with Stata, Error Correction Model (ECM), Engle-Granger Cointegration Test, Structural |
|
9th Week |
Break Cointegration Tests (Gregory-Hansen Test), and Continuation. |
|
10th Week |
ARDL Cointegration Bound Test with Stata |
|
11th Week |
Continuation of ARDL Cointegration Bound Test with Stata |
|
12th Week |
Analysis of Vector Autoregressive Models (VAR) with Stata: Determining the Appropriate Lag Length in VAR Models, Variance Decomposition Analysis, and Impulse Response Analysis. |
|
13th Week |
Continuation of the Analysis of Vector Autoregressive Models (VAR) with Stata: Determining the Appropriate Lag Length in VAR Models, Variance Decomposition Analysis, and Impulse Response Analysis. |
|
14th Week |
Granger Causality Test with Stata |
|
| Recommended or Required Reading | Gujarati, Damodar. N., Temel Ekonometri, (Çev. Ü. Şenesen ve G. Günlük Şenesen) 4. basım, İstanbul: Literatür Yayınları,
2006.
Ekonometrik ZamanSerileri Analizi, 2017, Yazar: Mehmet Çınar ,Mustafa Sevüktekin, Dora Yayıncılık.
Hamilton, J. D. (1994) Time Series Analysis, Princeton: Princeton University Press.
Patterson, K. (2000) An Introduction to Applied Econometrics: A Time Series Approach, London: MacMillan Press. |
|---|
| Planned Learning Activities and Teaching Methods |
- Lecture
- Discussion
- Problem Solving
|
|---|
| Assessment Methods and Criteria |
|
Quantity |
Percentage (%) |
| Mid-term |
1 |
30 |
| Assignment |
2 |
10 |
| Quiz |
4 |
20 |
| Attendance |
1 |
5 |
| Total(%) |
|
65 |
| Contribution of In-term Studies to Overall Grade(%) |
|
65 |
| Contribution of Final Examination to Overall Grade(%) |
|
35 |
| Total(%) |
|
100 |
|
| ECTS Allocated Based on Student Workload |
| Activities |
Quantity |
Duration (Hour) |
Total Workload (Hour) |
| Midterm exam |
1 |
1 |
1 |
| Preparation for Quiz |
4 |
4 |
16 |
| Individual or group work |
14 |
3 |
42 |
| Preparation for Final exam |
1 |
25 |
25 |
| Course hours |
14 |
3 |
42 |
| Preparation for Midterm exam |
1 |
20 |
20 |
| Laboratory (including preparation) |
0 |
0 |
0 |
| Final exam |
1 |
1 |
1 |
| Homework |
2 |
4 |
8 |
| Total Work Load | 155 |
| Total Work Load / 30 (h) | 5.16 |
| ECTS Credit of the Course | 5 |
|
| Language of Instruction | Turkish |
|---|
| Work Placement(s) | No |
|---|
