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| 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 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!): Robert H Shumway and David S Stoffer. Time Series Analysis and Its Applications: With R Examples. Springer, 2017 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.] |
| Admission requirements | The course 10172 Einführung in die Ökonometrie" should be passed succesfully. Basic knowledge of R is expected. |
| Course application | Registration: Please enrol in the Online Services. 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 |
| Comments | The course takes place in the Auditorium, Economics Department |
| 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 |
Electives Bachelor Business and Economics: Recommendations (Bachelor's Studies: Business and Economics (Start of studies before 01.08.2021)) Electives Bachelor Business and Economics: Recommendations (Bachelor's degree subject: Business and Economics (Start of studies before 01.08.2021)) Modul: Wahlbereich in Wirtschaftswissenschaften (Bachelor's degree subject: Business and Economics) Wahlbereich innerfakultär: Zusätzliches Lehrangebot (Bachelor's Studies: Business and Economics) |
| 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. 12.01.23; 14:15-15:45. WWZ S13: A-Z. |
| 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 |