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10684-01 - Vorlesung: Univariate Time Series Analysis 3 KP

Semester Herbstsemester 2021
Angebotsmuster Jedes Herbstsemester
Dozierende Christian Kleiber (christian.kleiber@unibas.ch, BeurteilerIn)
Inhalt Contents:

The course covers basic concepts of univariate time series analysis that are needed for an understanding of modern time series econometrics. The latter includes multivariate models such as vector autoregressions (VARs) and cointegration, topics that are studied in a follow-up course "Advanced Time Series" in spring.

The course will study notions such as autocorrelation, stationarity, AR(I)MA models and their seasonal extensions, model selection and diagnostics, forecasting, unit roots, and volatility models. Empirical illustrations will make use of the R language for statistical computing and graphics, see https://www.R-project.org/, hence basic knowledge of this software package is expected. There may be lab sessions.
Lernziele Basics of univariate time series analysis.

Literatur Some references (the course will not follow a specific text!):

Brockwell PJ, Davis RA (2016). Introduction to Time Series and Forecasting, 3rd ed. Springer. [Available in electronic form via the university library.]

Chan NH (2010). Time Series: Applications to Finance with R and S-Plus, 2nd ed. Wiley.

Neusser K (2011). Zeitreihenanalyse in den Wirtschaftswissenschaften, 3. Auflage. Teubner. [Available in electronic form via the university library.]

Neusser K (2016). Time Series Econometrics. Springer.

Ruppert D, Matteson DS (2015). Statistics and Data Analysis for Financial Engineering, 2nd ed. New York: Springer. [Available in electronic form via the university library.]
Bemerkungen We are aiming for 'real' lectures at the university. Should the pandemic situation require changes, we may switch to recorded videos with additional Q+A sessions (livestreams).
Weblink Weblink to OLAT

 

Teilnahmebedingungen WWZ students: BA completed. In addition, successful completion of Econometrics (MSc) is strongly recommended. Basic knowledge of R is expected.

Other participants: Basic statistics (incl. regression basics) and mathematics.

Anmeldung zur Lehrveranstaltung Registration: Please enrol in MOnA. EUCOR-Students and students of other Swiss Universities have to enrol at the students administration office (studseksupport1@unibas.ch) within the official enrolment period. Enrolment = Registration for the exam!
Unterrichtssprache Englisch
Einsatz digitaler Medien kein spezifischer Einsatz

 

Intervall wöchentlich
Datum 21.09.2021 – 07.12.2021
Zeit Dienstag, 14.15-16.00 Wirtschaftswissenschaftliche Fakultät, Auditorium

The course is planned as an in-class course, if necessary it will be offered in hybrid form, i.e. with a simultaneous livestream or as an online presence course.

Datum Zeit Raum
Dienstag 21.09.2021 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 28.09.2021 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 05.10.2021 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 12.10.2021 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 19.10.2021 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 26.10.2021 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 02.11.2021 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 09.11.2021 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 16.11.2021 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 23.11.2021 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 30.11.2021 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Dienstag 07.12.2021 14.15-16.00 Uhr Wirtschaftswissenschaftliche Fakultät, Auditorium
Module Modul: Core Courses in Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften)
Modul: Field Electives in Economics and Public Policy (Masterstudium: Economics and Public Policy)
Modul: Specific Electives in Business and Economics (Masterstudium: Wirtschaftswissenschaften)
Modul: Specific Electives in Data Science and Computational Economics (Masterstudium: Wirtschaftswissenschaften)
Modul: Specific Electives in Marketing and Strategic Management (Masterstudium: Wirtschaftswissenschaften)
Modul: Specific Electives in Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften)
Modul: Statistik und Computational Science (Masterstudium: Actuarial Science)
Modul: Technology Field (Masterstudium: Business and Technology)
Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Masterstudium: International and Monetary Economics)
Vertiefungsmodul: Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften (Studienbeginn vor 01.08.2021))
Vertiefungsmodul: Quantitative Methods (Masterstudium: Wirtschaftswissenschaften (Studienbeginn vor 01.08.2021))
Leistungsüberprüfung Leistungsnachweis
Hinweise zur Leistungsüberprüfung Written exam: Students may bring (1) a dictionary, (2) a calculator (subject to the usual rules), and (3) two pages of their own, handwritten notes.
In addition, there will be several assignments, for which students may work in groups of two. Assignments will account for 40% of the final grade.

written exam: 21.01.22; 10:15-11:45. The exam rooms will be published up to 01.12.21.
In case COVID-19 protective measures prevent examination on site, the faculty reserves the right to conduct the examination electronically during the same time slot.
You can still withdraw from the examination by submitting a completed, signed form to our office from 19.10.21 until 29.10.21 / 12:00 o’clock. Please send your form by mail to belegungstorno-wwz@unibas.ch. You will find the examination withdrawal form on the Homepage of the Student Dean’s Office.
Prior to 18.10.21, please only use MONA for withdrawing.
An-/Abmeldung zur Leistungsüberprüfung An-/Abmelden: Belegen resp. Stornieren der Belegung via MOnA
Wiederholungsprüfung keine Wiederholungsprüfung
Skala 1-6 0,1
Wiederholtes Belegen beliebig wiederholbar
Zuständige Fakultät Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch
Anbietende Organisationseinheit Wirtschaftswissenschaftliche Fakultät / WWZ

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