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| Semester | fall semester 2024 |
| 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 with an emphasis on methods and models that are used in economics, finance and related fields. Further topics, including multivariate models such as vector autoregressions (VARs) and cointegration, 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. There may be lab sessions. Software / programming language: R, see https://www.R-project.org/. Basic knowledge of R is expected. |
| Learning objectives | Basics of univariate time series analysis: autocorrelation, stationarity, AR(I)MA models and their seasonal extensions, model selection and diagnostics, forecasting, unit roots, and volatility models. |
| 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 as eBook via the university library.] Chan NH (2010). Time Series: Applications to Finance with R and S-Plus, 2nd ed. Wiley. [available as eBook via the university library.] Neusser K (2011). Zeitreihenanalyse in den Wirtschaftswissenschaften, 3. Auflage. Teubner. [available as eBook 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 as eBook via the university library.] Shumway RH, Stoffer DS (2019). Time Series: A Data Analysis Approach Using R. CRC Press. |
| Weblink | Weblink to OLAT |
| Admission requirements | Students from Master's programmes of the Faculty of Business and Economics: Completed Bachelor's degree. 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. Basic knowledge of R is expected. |
| Course application | Registration: Please enroll in the Online Services (services.unibas.ch); Eucor-Students and mobility students of other Swiss Universities or the FHNW first have to register at the University of Basel BEFORE the start of the course and receive their login data by post (e-mail address of the University of Basel). Processing time up to a week! Detailed information can be found here: https://www.unibas.ch/de/Studium/Mobilitaet.html After successful registration you can enroll for the course in the Online Services (services.unibas.ch). Applies to everyone: Enrolment = Registration for the course and the exam! |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Course auditors welcome |
| Interval | Weekday | Time | Room |
|---|---|---|---|
| wöchentlich | Friday | 10.15-12.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32 |
| Modules |
Module: Electives in Data Science (Master's Studies: Data Science) 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 Economics (Master's Studies: Business and Economics) Module: Specific Electives in Marketing and Strategic Management (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) |
| Assessment format | main lecture exam |
| Assessment details | Written exam: tbd In addition, there will be several assignments, for which students may work in groups of two. Assignments will account for 30% of the final grade. |
| 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 |