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| Semester | spring semester 2023 |
| Course frequency | Every spring sem. |
| Lecturers |
Simon Beyeler (simon.beyeler@unibas.ch)
Sylvia Kaufmann (sylvia.kaufmann@unibas.ch, Assessor) |
| Content | The course introduces modern multivariate time series modelling, in particular vector autoregression with hierarchical extensions and applications in macroeconomics. In a first part, we discuss a vector autoregression from an analytical viewpoint. We derive properties of the time series process, discuss stationarity and invertibility conditions, derive conditional and unconditional moments. As single parameters are not of prime interest, tools like impulse responses and variance decomposition are used to interpret multivariate time series models. Besides improving structural in-sample analysis, multivariate models eventually improve forecasting performance. We briefly review model estimation from a frequentist perspective, as a basis to introduce the Bayesian approach. A Bayesian approach circumvents estimation difficulties when either data is scarce or high-dimensional. We introduce two basic samplers based on Markov chain Monte Carlo (MCMC) simulation methods to obtain posterior inference: Gibbs and Metropolis-Hastings sampling. To quantify uncertainty, we derive procedures to obtain confidence or credible intervals. Finally, we discuss approaches to perform model choice or (forecast) evaluation, like MCMC-based estimation of the marginal likelihood or K-fold cross-validation. The last part introduces latent variables into multivariate modelling. These capture latent processes determining observed data like regime-switching parameters or underlying common factors. The lecture includes exercise sessions with applications in macroeconomics. |
| 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. Greenberg Edward, 2013, Introduction to Bayesian Econometrics, Cambridge University Press, Cambridge UK. Lütkepohl Helmut, 2005, New Introduction to Multiple Time Series Analysis, Springer. Neusser Klaus, 2016, Time Series Econometrics, Springer International Publishing AG Switzerland. Popular scientific: Bertsch Mcgrayne Sharon (2011), The theory that would not die: how bayes' rule cracked the enigma code, hunted down russian submarines, and emerged from two centuries of controversy, Yale University Press, New Haven & London.. |
| Comments | The course will be taught onsite. |
| Weblink | Weblink |
| Admission requirements | Completed BA (preferably in economics). Econometrics MA level: Knowledge in regression analysis, univariate time series analysis (advantageous). Knowledge in 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 | 14.15-17.45 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Date | Time | Room |
|---|---|---|
| Wednesday 22.02.2023 | 14.15-17.45 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Wednesday 08.03.2023 | 14.15-17.45 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Wednesday 22.03.2023 | 14.15-17.45 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Wednesday 05.04.2023 | 14.15-17.45 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Wednesday 19.04.2023 | 14.15-17.45 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Wednesday 03.05.2023 | 14.15-17.45 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Wednesday 17.05.2023 | 14.15-17.45 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Wednesday 31.05.2023 | 14.15-17.45 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Modules |
Modul: Fachlich-methodische Weiterbildung (Doctoral Studies - Faculty of Business and Economics) Modul: Specific Electives in Economics (Master's Studies: Business and Economics) Module: Field Electives in Economics and Public Policy (Master's Studies: Economics and Public Policy) Module: Field Electives in Finance and Money (Master's Studies: Finance and Money) Module: Finance Field: Monetary Economics and Macrofinance (Master's Studies: Finance and Money) Module: Specific Electives in Data Science and Computational Economics (Master's Studies: 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 (Start of studies before 01.08.2021)) |
| Assessment format | record of achievement |
| Assessment details | 40% Two assignments (team work of 3-5 persons) 60% Written exam (open book): 06.06.23; 10:15-11:15. WWZ Audi: A-Z. You can still withdraw from the examination by submitting a completed, signed form to our office from 21.03.23 until 31.03.23 / 12:00 o’clock. The deregistration form and the mail address can be found on the homepage of the Dean of Studies Office: https://wwz.unibas.ch/en/studies/examinations/de-/registration-of-examinations/ Prior to 20.03.23, please deregister only in the Online Services. The examination rooms will be published by 26.5.23. |
| 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 |