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30661-01 - Vorlesung: Advanced Time Series Analysis (3 KP)
| Semester | Frühjahrsemester 2021 |
| Angebotsmuster | Jedes Frühjahrsem. |
| Dozierende |
Simon Beyeler (simon.beyeler@unibas.ch)
Sylvia Kaufmann (sylvia.kaufmann@unibas.ch, BeurteilerIn) |
| Inhalt | The course introduces multivariate time series modelling, in particular vector autoregression. In a first part, we discuss the model under an abstract viewpoint. We derive properties of the time series process, discuss stationarity and invertibility conditions, derive conditional and unconditional moments, identify sources of uncertainty. As single parameters are not of prime interest, tools like impulse responses and variance decomposition are used to interpret multivariate time series models. Besides improved structural in-sample analysis, multivariate analysis may improve eventually forecasting performance. Two following parts discuss model estimation from a frequentist and a Bayesian perspective, respectively. A Bayesian approach circumvents estimation difficulties when either data information is scarce (i.e. data series are short) or large (many time series are available). We discuss model choice and specification measures, and procedures to quantify uncertainty. The last part introduces latent variables into multivariate modelling. These capture latent processes determining the data like regime-switching parameters or underlying common factors. The course includes some exercise sessions. |
| Lernziele | - Analyse and derive the properties of multivariate time series models. - Perform model specification/comparison; understand and apply tools to interpret model estimates. - Understand the differences between frequentist estimation and Bayesian inference. - Implement estimation and various structural identification procedures, quantify uncertainty. - Estimate basic latent variable models. - Basic knowledge of forecasting procedures, forecast evaluation. |
| Literatur | Gelman A., Carlin J.B., Stern H.S. and Rubin, D.R. (1995), Bayesian Data Analysis, Chapman and Hall, London. Lütkepohl Helmut, 2005, New Introduction to Multiple Time Series Analysis, Springer. Neusser Klaus, 2016, Time Series Econometrics, Springer International Publishing AG Switzerland. |
| Weblink | Weblink |
| Teilnahmevoraussetzungen | Completed BA (preferably in economics). Econometrics MA level; univariate time series modelling (advantageous). Knowledge of econometrics or programming software (like e.g. EViews, matlab, R) |
| 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 | Wochentag | Zeit | Raum |
|---|---|---|---|
| 14-täglich | Mittwoch | 14.15-18.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Bemerkungen | The course will be taught online at the dates you can see below and then continue in-class with a simoultaneous live-stream as soon as it is possible. |
Einzeltermine
| Datum | Zeit | Raum |
|---|---|---|
| Mittwoch 24.03.2021 | 14.15-18.00 Uhr | - Online Präsenz -, -- |
| Mittwoch 31.03.2021 | 14.15-18.00 Uhr | - Online Präsenz -, -- |
| Mittwoch 07.04.2021 | 14.15-18.00 Uhr | - Online Präsenz -, -- |
| Mittwoch 21.04.2021 | 14.15-18.00 Uhr | - Online Präsenz -, -- |
| Mittwoch 05.05.2021 | 14.15-18.00 Uhr | - Online Präsenz -, -- |
| Mittwoch 19.05.2021 | 14.15-18.00 Uhr | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Mittwoch 02.06.2021 | 14.15-18.00 Uhr | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Module |
Modul: Fachlich-methodische Weiterbildung (Doktoratsstudium - Wirtschaftswissenschaftliche Fakultät) Modul: Statistik und Computational Science (Masterstudium: Actuarial Science) Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Masterstudium: International and Monetary Economics) Vertiefungsmodul: Quantitative Methods (Masterstudium: Wirtschaftswissenschaften) |
| Prüfung | Semesterendprüfung |
| Hinweise zur Prüfung | written exam: 29.06.21; 10:15-11:45. The exam will take place at WWZ. 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 will receive details of the on-site examinations (Exhibition Center or WWZ) by email approximately one week before the examination date. |
| An-/Abmeldung zur Prüfung | Anmeldung: Belegen |
| Wiederholungsprüfung | keine Wiederholungsprüfung |
| Skala | 1-6 0,1 |
| Belegen bei Nichtbestehen | beliebig wiederholbar |
| Zuständige Fakultät | Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch |
| Anbietende Organisationseinheit | Wirtschaftswissenschaftliche Fakultät / WWZ |