ch00 syllabus

8/2/2019 Ch00 Syllabus

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Time Series Analysis

Christian Kleiber

Universitat Basel

HS 2011


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Instructor

Christian KleiberWWZ, Quantitative Methods Unit

Universitat BaselE-mail: [email protected]: http://wwz.unibas.ch/kleiber

2011 Christian Kleiber (U Basel) Time Series Analysis HS 2011 2 / 14
mailto:[email protected]://wwz.unibas.ch/kleiberhttp://wwz.unibas.ch/kleibermailto:[email protected]


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Overview

Introduction

Smoothing and decomposition methods

Stationary stochastic processes

ARIMA models

Nonstationarity: Unit roots and cointegration (some of)

Time series regression and structural change (if time permits)

GARCH models



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Time series decomposition

7.0

7.4

7.8

observe

d

7.2

7.4

7.6

trend

0.1

0.1

season

0.1

5

0.0

0

0.1

5

1970 1975 1980 1985

remaind

er

Time

UK driver deaths (in logs)



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ARIMA modelsConsumption of NonDurables in the UK

Time

log(Consum

ption)

1955 1960 1965 1970 1975 1980 1985 1990

10.2

10.6

11.0

0 1 2 3 4 5

0.5

0.0

0.5

1.0

Lag

ACF of returns

1 2 3 4 5

0.5

0.0

0.5

Lag

Partial ACF of returns



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Time series regression

1000

3000

5000

Fittedvalues

1950 1960 1970 1980 1990 2000

Time

200

0

100

300

Residuals

US consumption function

ObservedDistributed lagAutoregressive distributed lag



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CointegrationEuropean pepper prices

Time

Averagemonthlyspotprice

1975 1980 1985 1990 1995

1000

3000

5000

7000

whiteblack



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Structural change analysisChange in seatbelt legislation in the UK

Time

UKd

riverdeaths

1970 1975 1980 1985

7.0

7.2

7.4

7.6

7.8



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GARCH models



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Required background

Linear regression:

Ordinary/weighted/generalized least squares estimation(OLS, WLS, GLS)

Gauss-Markov theorem

Inference (t and F tests) for linear hypotheses

Robust standard errors

Factors and interactions

Model selection

R basics (see material for Introductory Econometrics)



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Books

Primary reference:

Cryer JD, Chan KS (2008). Time Series Analysis WithApplications in R, 2nd ed. New York: Springer-Verlag.

Econometrics with R:

Kleiber C, Zeileis A (2008). Applied Econometrics with R. New

York: Springer-Verlag.

Further references:

Brockwell PJ, Davis RA (2002). Introduction to Time Series and

Forecasting, 2nd ed. New York: SpringerVerlag.Tsay RS (2010). Analysis of Financial Time Series, 3rd ed.Hoboken, NJ: John Wiley & Sons.



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Books

Cochrane JH (2005). Time Series for Macroeconomics andFinance. Lecture Notes, Graduate School of Business, University

of Chicago.Franke J, Hardle W, Hafner C (2011). Statistics of FinancialMarkets, 3rd ed. New York: Springer-Verlag.[earlier editions in German]

Hamilton JD (1994). Time Series Analysis. Princeton:Princeton University Press.

Neusser K (2009). Zeitreihenanalyse in denWirtschaftswissenschaften, 2nd ed. Wiesbaden:Vieweg+Teubner Verlag.

Shumway RH, Stoffer DS (2011). Time Series Analysis and ItsApplications, 3rd ed. New York: Springer-Verlag.



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R

Open-source software, freely available under GPL

Current version: 2.13.1

Homepagehttp://www.R-project.org/

Comprehensive R Archive Networkhttp://CRAN.R-project.org/

Windows setup program (

39 MB)../bin/windows/base/R-2.13.1-win32.exe

Econometrics task view:http://CRAN.R-project.org/view=Econometrics

Time series task view:

http://CRAN.R-project.org/view=TimeSeriesExtension package AER for Applied Econometrics with Rhttp://CRAN.R-project.org/package=AER

Extension package TSA forTime Series Analysishttp://CRAN.R-project.org/package=TSA

http://www.r-project.org/http://cran.r-project.org/http://cran.r-project.org/bin/windows/base/R-2.13.1-win32.exehttp://cran.r-project.org/view=Econometricshttp://cran.r-project.org/view=TimeSerieshttp://cran.r-project.org/package=AERhttp://cran.r-project.org/package=TSAhttp://cran.r-project.org/package=TSAhttp://cran.r-project.org/package=AERhttp://cran.r-project.org/view=TimeSerieshttp://cran.r-project.org/view=Econometricshttp://cran.r-project.org/bin/windows/base/R-2.13.1-win32.exehttp://cran.r-project.org/http://www.r-project.org/


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Format

Credit hoursLecture: 2

Time/placeThu 10:1512:00, JBH (WWZ) HG S13,possibly including lab sessions

Exam

Written exam, 90 min.Possibly extra homework, accounts for 20%.


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