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| Semester | Herbstsemester 2012 |
| Angebotsmuster | Jedes Herbstsemester |
| Dozierende | Christian Kleiber (christian.kleiber@unibas.ch, BeurteilerIn) |
| Inhalt | Content: The course provides an introduction to univariate time series analysis. It will cover exploratory techniques (decomposition into trend, seasonal and irregular components), basic concepts such as autocorrelation, stationarity, AR(I)MA models and their seasonal extensions, model selection and diagnostics, and unit roots. Empirical illustrations will make use of the R language for statistical computing and graphics, see http://www.r-project.org/, hence basic knowledge of this software package is expected. |
| Lernziele | Basics of univariate time series analysis. |
| Literatur | Chan NH (2010). Time Series: Applications to Finance with R and S-Plus, 2nd ed. Wiley. Cryer JD, Chan, KS (2008). Time Series Analysis, with Examples in R, 2nd ed. Springer. [Text available in electronic form via UB Basel!] Tsay, RS (2010). Analysis of Financial Time Series, 3rd ed. Wiley |
| Bemerkungen | Former title of this lecture used to be: "Zeitreihenökonometrie". |
| Weblink | Weblink |
| Teilnahmebedingungen | WWZ students: BA completed. Other participants: Basic statistics (incl. regression basics) and mathematics at the undergraduate level. |
| Anmeldung zur Lehrveranstaltung | Course registration: please enrol in MOnA; Eucor and exchange students enrol at the Students Services at Petersplatz 1 within the registration deadline (21st October 2012). Registration = Admission to the exam |
| Unterrichtssprache | Englisch |
| Einsatz digitaler Medien | kein spezifischer Einsatz |
| Intervall | Wochentag | Zeit | Raum |
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Keine Einzeltermine verfügbar, bitte informieren Sie sich direkt bei den Dozierenden.
| Module |
Modul Statistik und Computational Science (Master Actuarial Science) Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Master International and Monetary Economics) Vertiefungsmodul Monetary Economics and Financial Markets (Master Wirtschaftswissenschaften) Vertiefungsmodul Quantitative Methods (Master Wirtschaftswissenschaften) |
| Leistungsüberprüfung | Semesterendprüfung |
| Hinweise zur Leistungsüberprüfung | Written exam (90 min). In addition, there will be at least two assignments, each accounting for 10% of the final grade. Written exam: 11.01.13; 12:00-14:00. WWZ S13: A-L; WWZ S15: M-Z. |
| An-/Abmeldung zur Leistungsüberprüfung | Anmeldung: Belegen |
| Wiederholungsprüfung | keine Wiederholungsprüfung |
| Skala | 1-6 0,1 |
| Wiederholtes Belegen | beliebig wiederholbar |
| Zuständige Fakultät | Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch |
| Anbietende Organisationseinheit | Abteilung Quantitative Methoden: Ökonometrie und Statistik |