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10684-01 - Lecture: Univariate Time Series Analysis (3 CP)
| Semester | fall semester 2022 |
| Course frequency | Every fall sem. |
| Lecturers | Daniele Ballinari (daniele.ballinari@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 includes multivariate models such as vector autoregressions (VARs) and cointegration, topics that 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 in electronic form via the university library.] Chan NH (2010). Time Series: Applications to Finance with R and S-Plus, 2nd ed. Wiley. Neusser K (2011). Zeitreihenanalyse in den Wirtschaftswissenschaften, 3. Auflage. Teubner. [Available in electronic form 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 in electronic form via the university library.] |
| Weblink | Weblink to OLAT |
| Admission requirements | WWZ students: 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 enrol in the Online Services before the course starts. EUCOR-Students and students of other Swiss Universities have to enrol at the students administration office (studseksupport1@unibas.ch) within the official enrolment period. In order to get access to ADAM in time, it is best to enrol before the course starts though. Enrolment = Registration for the exam! |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Interval | Weekday | Time | Room |
|---|---|---|---|
| wöchentlich | Monday | 12.30-14.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
Dates
| Date | Time | Room |
|---|---|---|
| Monday 19.09.2022 | 12.30-14.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Monday 26.09.2022 | 12.30-14.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Monday 03.10.2022 | 12.30-14.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Monday 10.10.2022 | 12.30-14.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Monday 17.10.2022 | 12.30-14.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Monday 24.10.2022 | 12.30-14.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Monday 31.10.2022 | 12.30-14.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Monday 07.11.2022 | 12.30-14.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Monday 14.11.2022 | 12.30-14.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Monday 21.11.2022 | 12.30-14.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Monday 28.11.2022 | 12.30-14.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Monday 05.12.2022 | 12.30-14.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Modules |
Modul: Specific Electives in Economics (Master's Studies: Business and Economics) 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 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) Specialization Module: Monetary Economics and Financial Markets (Master's Studies: Business and Economics (Start of studies before 01.08.2021)) Specialization Module: Quantitative Methods (Master's Studies: Business and Economics (Start of studies before 01.08.2021)) |
| Assessment format | exam |
| 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. 12.01.23; 14:15-15:45. WWZ S13: A-Z. In addition, there will be several assignments, for which students may work in groups of two. Assignments will account for 40% of the final grade. The repeat exam will be held on 01.02.23; 12:30-14:00. You will receive the rooms for the repeat exam by mail. written exam: date tbd |
| 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 |