Back to selection
30661-01 - Lecture: Time Series Analysis II (3 CP)
| Semester | spring semester 2012 |
| Course frequency | Every spring sem. |
| Lecturers | Christian Kleiber (christian.kleiber@unibas.ch, Assessor) |
| Content | Summary: The course will cover selected topics beyond the ARIMA basics introduced in Time Series Analysis I. Topics may include vector autoregressions, cointegration, structural change, state space models, structural time series models, classical forecasting methods, spectral analysis, nonlinear models, etc. I am planning on a kind of 'helicopter tour' -- brief introductions to a variety of topics instead of an in-depth treatment of 1-2 topics (such as VARs and cointegration). Details may depend on the interests of the audience, suggestions are welcome. |
| Learning objectives | Learning goals: Time series basics beyond (univariate) ARIMA modelling. |
| Bibliography | Reading list:Brockwell PJ, Davis RA (2002). Introduction to Time Series and Forecasting, 2nd ed. New York - Berlin: Springer. Cryer J, Chan KS (2008). Time Series Analysis, with Applications in R. 2nd ed. New York - Berlin: Springer. [available in electronic form via the university library!] Tsay RS (2010). Analysis of Financial Time Series, 3rd ed. Hoboken, NJ: John Wiley. |
| Weblink | Weblink |
| Admission requirements | Prerequisites: Time Series Analysis I |
| Course application | Registration: Please enrol in MOnA. EUCOR-Students and Exchange-Students have to enrol at the students administration office (studsek@unibas.ch) within the official enrolment period. Enrolment = Registration for the exam! |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Course auditors welcome |
| Interval | Weekday | Time | Room |
|---|
No dates available. Please contact the lecturer.
| Modules |
Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Master International and Monetary Economics) Vertiefungsmodul Quantitative Methods (Master Business and Economics) |
| Assessment format | end-of-semester examination |
| Assessment details | written exam: 08.06.2012, 14:15-15:45. WWZ Audi: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 | Reg.: course registration, dereg: cancel 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 |