Stochastic Processes and Their Applications in Economics and the Social Sciences

 

Time/Room

  • Mo 10-12 G 413 (lectures)
  • Mo 8:30-10 (K 208 and A 120) and Mo 14-16 (B 016) (tutorial)
  • on 14/01/2008 only in A 120 !

First Session

  • 29/10/2007 (lectures)
  • 19/11/2007 (tutorial groups)

Lecturer

  • Klaus G. Troitzsch (lectures and one tutorial group)
  • Michael Möhring (two more tutorial groups)

Intended Audience

  • Students of Information Management (BSc) 1st/2nd year

Exam

  • Two assignments (15 % each, but three must be submitted) and written examination (70 %, (recommended solution, marks will be communicated on 13/04/2008 by e-mail). The module mark is determined by the exam result of this course and of the descriptive and inferential statistics course (unweighted average).
  • Second chance 25/07/2008 10:00-12:00 D 028. Please register with MeToo.

Related

  • Tutorial (tba)

More info and link to course material

Overview

The aim of this module is to give an introduction into the statistical methods of the social and economic sciences, with special emphasis on the analysis of time series data..

By the end of this module, a student should understand

  • which methods are used to collect and analyse time series data.

Syllabus and time schedule of the lecture course (the time schedule will be completed according to the progress of the course)

  1. Time series: Overview
  2. Time series: Component Methods (Local and Global)
  3. Stochastic Processes: Overview
  4. Stochastic Processes: White Noise, Random Walk, General Linear Processes
  5. The Concept of Stationarity
  6. Time and Frequency
  7. The ARIMA Model
  8. Transformation of Time Series and Stochastic Processes, Filters
  9. Prediction
  10. Random Number Generators
  11. Markov Processes
  12. Stochastic Processes in Queueing Theory
  13. Stochastic Processes in Continuous Time and Space
  14. Summary and Outlook

Course material

All slides for this course can be found here (chapters 1 through 8) and here (chapters 9 through 12 not yet available).

Basic Reading

  • Reiner Schlittgen, Bernd H.J. Streitberg (2001): Zeitreihenanalyse, München: Oldenbourg 9. Aufl. 2001
  • Peter J. Brockwell, Richard A. Davis (1991): Time Series: Theory and Methods, New York: Springer, 2nd edition
  • Peter J. Brockwell, Richard A. Davis (2002): Introduction to Time Series and Forecasting, New York: Springer, 2nd edition

SPSS

The data analysis software system SPSS is available in all labs using XP:

All Programs -> SPSS for Windows --> SPSS 14.0 for Windows

Additional information on SPSS:

TREND

TREND is a program that allows for the analysis of time series. Originally written in the mid-1980s for an MS-DOS machine, it is now available under WINDOWS. It can be found in an archive together with some time series files.

Data Sets

Several data sets will be used in the tutorial, others will have to be generated by the participants:

  • Electricity production in Germany 1955-1979
    This time series can be analysed with the help of the component method.
  • Stock indexes
    10 different time series describing the most important stock indexes collected from november 1995 to February 2001
    • Dow Jones Industrial
    • S&P Composite
    • Nikkei 30
    • Dax 30
    • CAC 40
    • Swiss Market
    • Milan MIB 30
    • Ibex 35I
    • BEL 20
    • FTSE 100

    Data set Mit diesem Datensatz lässt sich auch die fünfte Teilaufgabe fehlerfrei lösen. Mein Versuch am Montag (10.12.07) scheiterte, weil es noch weitere Zeilen voller Missing Data gab.

  • others

Time schedule for the labs (to be completed later on)

 

 

Tutorials

Delivery

Discussion

Sample solutions

Electricity production

14/11/2007 18:00

19/11/2007

see here

Generating and analysing white-noise and random-walk processes

28/11/2007 20:00

03/12/2007

see here

Stock exchange indexes and simulated ARMA

03/01/2008 20:00

14/01/2008

see here

Analysis of queues, Data set

06/02/2008 23:59

11/02/2008

see here

Current marks see here --- now including marks for the fourth assignment and the total!