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10684-01 - Lecture: Time Series Analysis I (3 CP)
| Semester | fall semester 2013 |
| Course frequency | Every fall sem. |
| Lecturers | Christian Kleiber (christian.kleiber@unibas.ch, Assessor) |
| Content | Contents: The course provides an introduction to univariate time series analysis. It will cover 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. |
| Learning objectives | Basics of univariate time series analysis. |
| Bibliography | Literatur: Some references (the course will not necessarily follow a particular text!): 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. [Available in electronic form via the university library!] Ruppert D (2011). Statistics and Data Analysis for Financial Engineering. New York: Springer. [Available in electronic form via the university library!] 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 students enrol at the Students Services at Petersplatz 1 within the registration deadline. Registration = Admission to the exam |
| Language of instruction | English |
| Use of digital media | No specific media used |
| 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) Statistics and Computational Science Module (Master Actuarial Science) Vertiefungsmodul Monetary Economics and Financial Markets (Master Business and Economics) Vertiefungsmodul Quantitative Methods (Master Business and Economics) |
| Assessment format | end-of-semester examination |
| Assessment details | Written exam (90 min). In addition, there will be at least two assignments, for which students may work in groups of two. Each assignment will account for 10% of the final grade. Written exam: 20.01.14; 12:00-14:00. WWZ S15: A-K; WWZ Audi: L-Z. Vom 15.10.12 bis zum 25.10.12 / 12:00 Uhr können Sie sich schriftlich per Formular noch von der Prüfung abmelden. Abmeldungen per Email werden nicht entgegengenommen, das Abmeldeformular finden Sie auf der Homepage des Studiendekanats. Bis zum 14.10.13 melden Sie sich bitte ausschliesslich in MONA ab. |
| 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 | Abteilung Quantitative Methoden: Ökonometrie und Statistik |