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| Semester | fall semester 2018 |
| 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 https://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!): Brockwell PJ, Davis RA (2016). Introduction to Time Series and Forecasting, 3rd ed. Springer. [Available in electronic form via the university library.] 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. |
| 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 | Registration: Please enrol in MOnA. EUCOR-Students and students of other Swiss Universities have to enrol at the students administration office (studseksupport1@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 |
Module: Statistics and Computational Science (Master's Studies: Actuarial Science) Specialization Module: Areas of Specialization in International and/or Monetary Economics (Master's Studies: International and Monetary Economics) Specialization Module: Monetary Economics and Financial Markets (Master's Studies: Business and Economics) Specialization Module: Quantitative Methods (Master's Studies: Business and Economics) |
| Assessment format | end-of-semester examination |
| Assessment details | Written exam. 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 20% of the final grade. Written exam: 15.11.18; 14:15 -15:45. WWZ Audi: A-M; WWz S15: P-Z. You can still withdraw from the examination by submitting a completed, signed form to our office from 16.10.18 until 26.10.18 / 12:00 o’clock. Withdrawals sent by email will not be accepted. You will find the examination withdrawal form on the Homepage of the Student Dean’s Office. Prior to 15.10.18, please only use MONA for withdrawing. |
| 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 |