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10684-01 - Lecture: Time Series Analysis I (3 CP)
| Semester | fall semester 2011 |
| Course frequency | Every fall sem. |
| Lecturers | Christian Kleiber (christian.kleiber@unibas.ch, Assessor) |
| 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 (incl. model selection and diagnostics), unit roots and ARCH-type nonlinear models. Empirical illustrations will make use of the R language for statistical computing and graphics, see http://www.r-project.org/. [NB. I have offered such courses before, but this will be a new course using a different text, probably Cryer and Chan.] |
| Learning objectives | Basics of univariate time series analysis. |
| Bibliography | 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 |
| Comments | Former title of this lecture used to be: "Zeitreihenökonometrie". |
| Weblink | Weblink |
| Admission requirements | WWZ students: BA completed. Other participants: Basic statistics (incl. regression basics) and mathematics at the undergraduate level. |
| Course application | Course registration: please enrol in MOnA; Eucor and exchange students enrol at the Students Services at Petersplatz 1 within the registration deadline (24th October 2011). Registration = Admission to the exam |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Interval | Weekday | Time | Room |
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No dates available. Please contact the lecturer.
| Modules |
Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Master International and Monetary Economics) Statistics and Computational Science Module (Master Actuarial Science) Vertiefungsmodul Quantitative Methods (Master Business and Economics) |
| Assessment format | end-of-semester examination |
| Assessment details | Exam (90 min), possibly additional homework. Schriftliche Prüfung: 20.01.12, 10:15 - 12:00. WWZ S15: A-Z. Die Prüfungsräume finden Sie hier: http://wwz.unibas.ch/studium/pruefungen/raeume/. Bitte kontollieren Sie die Raumzuteilung kurz vor den Prüfungen noch einmal |
| Assessment registration/deregistration | Registration: course registration |
| Repeat examination | no repeat examination |
| Scale | 1-6 0,1 |
| Repeated registration | as often as necessary |
| Responsible faculty | Faculty of Business and Economics , studiendekanat-wwz@unibas.ch |
| Offered by | Abt. Quant. Meth: Ökonometrie, Statistik |