| Description |
*** IMPORTANT ***
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*** please note that effective FS2024 this course will only be open for Bachelor students ***
This course provides an introduction to univariate time series analysis. Many real-world phenomena such as the evolution of world temperatures or stock market prices can be described via time series modelling.
The first part of the course introduces the core models, i.e. MA(p), AR(q) and ARMA(q,p). Basic time series concepts like stationarity and invertibility are defined and analysed, as well as the autocovariance function. The second part of the course is devoted to some complementary topics, such as forecasting, order selection for an ARMA(q,p) model, and unit-root testing. Finally, spectral analysis is tackled. Every second week, an exercise session takes place. During this session, exercises are presented and solved by the assistant.
Readings: the main textbook for this course is: Brockwell, P. J., Davis, R. A., & Calder, M. V. (2002). Introduction to time series and forecasting (Vol.
2). New York: springer. Further materials may be provided during the course.
Language: English
Credits: 3 SWS / 4.5 ECTS
Prerequisites: Econometrics I is recommended
1. Exam: Thursday, 22.05. 2025, 08.15 - 10.00h (105 min), 115, H4
2. Exam: Thursday, 11.09.2025, 08.15 - 10.00h (105 min), tba
Lecture:
Thursday, 08:15 - 10:00h, 115, H4
Exercises: Marc Schranz (marc.schranz@unibe.ch)
Fridays, 14.15 - 16.00 hrs, bi-weekly, 115, H4 |
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