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10684-01 - Lecture: Univariate Time Series Analysis (3 CP)
| Semester | fall semester 2023 |
| 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 with an emphasis on methods and models that are used in economics, finance and related fields. Further topics, including multivariate models such as vector autoregressions (VARs) and cointegration, are studied in a follow-up course "Advanced Time Series" in spring. The course will study notions such as autocorrelation, stationarity, AR(I)MA models and their seasonal extensions, model selection and diagnostics, forecasting, unit roots, and volatility models. Empirical illustrations will make use of the R language for statistical computing and graphics, see https://www.R-project.org/, hence basic knowledge of this software package is expected. There may be lab sessions. |
| Learning objectives | Basics of univariate time series analysis. |
| Bibliography | Some references (the course will not follow a specific text!): Brockwell PJ, Davis RA (2016). Introduction to Time Series and Forecasting, 3rd ed. Springer. [available as eBook via the university library.] Chan NH (2010). Time Series: Applications to Finance with R and S-Plus, 2nd ed. Wiley. [available as eBook via the university library.] Neusser K (2011). Zeitreihenanalyse in den Wirtschaftswissenschaften, 3. Auflage. Teubner. [available as eBook via the university library.] Neusser K (2016). Time Series Econometrics. Springer. Ruppert D, Matteson DS (2015). Statistics and Data Analysis for Financial Engineering, 2nd ed. New York: Springer. [available as eBook via the university library.] |
| Weblink | Weblink to OLAT |
| Admission requirements | Students majoring in business and economics: BA completed. In addition, successful completion of Econometrics (MSc) is strongly recommended. Basic knowledge of R is expected. Other participants: Basic statistics (incl. regression basics) and mathematics. |
| Course application | Registration: Please enroll in the Online Services (services.unibas.ch); Eucor-Students and mobility students of other Swiss Universities or the FHNW first have to register at the University of Basel BEFORE the start of the course and receive their login data by post (e-mail address of the University of Basel). Processing time up to a week! Detailed information can be found here: https://www.unibas.ch/de/Studium/Mobilitaet.html After successful registration you can enroll for the course in the Online Services (services.unibas.ch). Applies to everyone: Enrolment = Registration for the course and the exam! |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Course auditors welcome |
| Interval | Weekday | Time | Room |
|---|---|---|---|
| wöchentlich | Friday | 10.15-12.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32 |
Dates
| Modules |
Module: Core Courses in Monetary Economics and Financial Markets (Master's Studies: Business and Economics) Module: Field Electives in Economics and Public Policy (Master's Studies: Economics and Public Policy) Module: Fundamentals in Finance and Money (Master's Studies: Finance and Money) Module: Specific Electives in Business and Economics (Master's Studies: Business and Economics) Module: Specific Electives in Data Science and Computational Economics (Master's Studies: Business and Economics) Module: Specific Electives in Economics (Master's Studies: Business and Economics) Module: Specific Electives in Marketing and Strategic Management (Master's Studies: Business and Economics) Module: Specific Electives in Monetary Economics and Financial Markets (Master's Studies: Business and Economics) Module: Statistics and Computational Science (Master's Studies: Actuarial Science) Module: Technology Field (Master's Studies: Business and Technology) Specialization Module: Areas of Specialization in International and/or Monetary Economics (Master's Studies: International and Monetary Economics) |
| Assessment format | exam |
| Assessment details | Written exam: 15.01.24; 14:15-15:45. WWZ S15: A-Z. You can still withdraw from the examination by submitting a completed, signed form to our office from 17.10.23 until 27.10.23 / 12:00 o’clock. The deregistration form and the mail address can be found on the homepage of the Dean of Studies Office: https://wwz.unibas.ch/en/studies/examinations/de-/registration-of-examinations/ Prior to 16.10.23, please deregister only in the Online Services. repeat exam: 08.02.24; 10:15-11:45. You will receive the rooms for the repeat exam by mail. Students may bring (1) a dictionary, (2) a calculator (subject to the usual rules), and (3) two pages of their own, handwritten notes. In addition, there will be several assignments, for which students may work in groups of two. Assignments will account for 30% of the final grade. IMPORTANT: For courses with a main lecture exam, a repeat exam is offered in addition to the regular examination date.This repeat examination can only be taken if the student has taken part in and failed the regular examination (grade < 4.0) see English translation of the study guide of our master programs by December 13, 2021: Paragraph 4.13.4.1. |
| Assessment registration/deregistration | Reg.: course registration, dereg: cancel course registration |
| Repeat examination | one repetition, best attempt counts |
| Scale | 1-6 0,1 |
| Repeated registration | one repetition |
| Responsible faculty | Faculty of Business and Economics , studiendekanat-wwz@unibas.ch |
| Offered by | Faculty of Business and Economics |