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| Semester | fall semester 2021 |
| 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 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.] |
| Comments | We are aiming for 'real' lectures at the university. Should the pandemic situation require changes, we may switch to recorded videos with additional Q+A sessions (livestreams). |
| 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 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 |
|---|---|---|---|
| wöchentlich | Tuesday | 14.15-16.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Comments | The course is planned as an in-class course, if necessary it will be offered in hybrid form, i.e. with a simultaneous livestream or as an online presence course. |
| 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: 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 | record of achievement |
| 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 40% of the final grade. written exam: 21.01.22; 10:15-11:45. WWZ S15: A-Z. 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 can still withdraw from the examination by submitting a completed, signed form to our office from 19.10.21 until 29.10.21 / 12:00 o’clock. Please send your form by mail to belegungstorno-wwz@unibas.ch. You will find the examination withdrawal form on the Homepage of the Student Dean’s Office. Prior to 18.10.21, please only use MONA for withdrawing. |
| Assessment registration/deregistration | Reg.: course registration, dereg: cancel 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 |