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| Semester | spring semester 2021 |
| Course frequency | Every spring sem. |
| Lecturers |
Simon Beyeler (simon.beyeler@unibas.ch)
Sylvia Kaufmann (sylvia.kaufmann@unibas.ch, Assessor) |
| Content | The course introduces multivariate time series modelling, in particular vector autoregression. In a first part, we discuss the model under an abstract viewpoint. We derive properties of the time series process, discuss stationarity and invertibility conditions, derive conditional and unconditional moments, identify sources of uncertainty. As single parameters are not of prime interest, tools like impulse responses and variance decomposition are used to interpret multivariate time series models. Besides improved structural in-sample analysis, multivariate analysis may improve eventually forecasting performance. Two following parts discuss model estimation from a frequentist and a Bayesian perspective, respectively. A Bayesian approach circumvents estimation difficulties when either data information is scarce (i.e. data series are short) or large (many time series are available). We discuss model choice and specification measures, and procedures to quantify uncertainty. The last part introduces latent variables into multivariate modelling. These capture latent processes determining the data like regime-switching parameters or underlying common factors. The course includes some exercise sessions. |
| Learning objectives | - Analyse and derive the properties of multivariate time series models. - Perform model specification/comparison; understand and apply tools to interpret model estimates. - Understand the differences between frequentist estimation and Bayesian inference. - Implement estimation and various structural identification procedures, quantify uncertainty. - Estimate basic latent variable models. - Basic knowledge of forecasting procedures, forecast evaluation. |
| Bibliography | Gelman A., Carlin J.B., Stern H.S. and Rubin, D.R. (1995), Bayesian Data Analysis, Chapman and Hall, London. Lütkepohl Helmut, 2005, New Introduction to Multiple Time Series Analysis, Springer. Neusser Klaus, 2016, Time Series Econometrics, Springer International Publishing AG Switzerland. |
| Weblink | Weblink |
| Admission requirements | Completed BA (preferably in economics). Econometrics MA level; univariate time series modelling (advantageous). Knowledge of econometrics or programming software (like e.g. EViews, matlab, R) |
| 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 |
| Interval | Weekday | Time | Room |
|---|---|---|---|
| 14-täglich | Wednesday | 14.15-18.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Comments | The course will be taught online at the dates you can see below and then continue in-class with a simoultaneous live-stream as soon as it is possible. |
| Date | Time | Room |
|---|---|---|
| Wednesday 24.03.2021 | 14.15-18.00 | - Online Präsenz -, -- |
| Wednesday 31.03.2021 | 14.15-18.00 | - Online Präsenz -, -- |
| Wednesday 07.04.2021 | 14.15-18.00 | - Online Präsenz -, -- |
| Wednesday 21.04.2021 | 14.15-18.00 | - Online Präsenz -, -- |
| Wednesday 05.05.2021 | 14.15-18.00 | - Online Präsenz -, -- |
| Wednesday 19.05.2021 | 14.15-18.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Wednesday 02.06.2021 | 14.15-18.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Modules |
Modul: Fachlich-methodische Weiterbildung (Doctoral Studies - Faculty of Business and Economics) 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: Quantitative Methods (Master's Studies: Business and Economics) |
| Assessment format | end-of-semester examination |
| Assessment details | written exam: 29.06.21; 10:15-11:45. The exam will take place at WWZ. In case COVID-19 protective measures prevent examination on site, the faculty reserves the right to conduct the examination electronically during the same time slot. You will receive details of the on-site examinations (Exhibition Center or WWZ) by email approximately one week before the examination date. |
| 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 |