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10684-01 - Lecture: Time Series Analysis I (3 CP)
| Semester | fall semester 2016 |
| Course frequency | Every fall sem. |
| Lecturers | Christian Kleiber (christian.kleiber@unibas.ch, Assessor) |
| Content | Contents: The course covers basic concepts of univariate time series analysis that are needed for an understanding of modern time series econometrics. The latter refers to topics such as unit roots, volatility models, vector autoregressions (VARs), and cointegration, which are studied in the follow-up course Time Series Analysis II in the second half of the semester. Time Series Analysis I will study notions such as autocorrelation, stationarity, AR(I)MA models and their seasonal extensions, model selection and diagnostics, and forecasting. 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 | Some references (the course will not necessarily follow a specific 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.] Franses PH, van Dijk D, Opschoor A (2014). Time Series Models for Business and Economic Forecasting, 2nd ed. Oxford Univ. Press. 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.] Tsay RS (2010). Analysis of Financial Time Series, 3rd ed. Wiley. |
| Comments | The 3 CP-lectures is 4 hours weekly but only in the first half of the term (until november 1, 2016). In the second half of the term the course 30661 Time Series Analysis II follows. |
| Weblink | Weblink |
| Admission requirements | WWZ students: BA completed. In addition, successful completion of Econometrics (MSc) is strongly recommended. Some basic knowledge of R is expected. Other participants: Basic statistics (incl. regression basics) and mathematics. |
| 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 |
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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 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. 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: 07.11.16: 08:15 -09:45. WWZ S15: A-Z. Participants are allowed to use (1) a dictionary, (2) a calculator (subject to the usual constraints), and (3) two pages of their own, handwritten notes (note: 2 pages, NOT 2 + 2!) . |
| 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 | Faculty of Business and Economics |