Time Series Analysis

Christian Kleiber
Universitt Basel a

HS 2011

Instructor
Christian Kleiber WWZ, Quantitative Methods Unit Universitt Basel a E-mail: Christian.Kleiber@unibas.ch URL: http://wwz.unibas.ch/kleiber

2011 Christian Kleiber (U Basel)

Time Series Analysis

HS 2011

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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

2011 Christian Kleiber (U Basel)

Time Series Analysis

HS 2011

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Time series decomposition

UK driver deaths (in logs)
observed trend season remainder
7.8 0.15 0.00 0.15 0.1 0.1 7.2 7.4 7.6 7.0 7.4

1970

1975

1980

1985

Time
2011 Christian Kleiber (U Basel) Time Series Analysis HS 2011 4 / 14

ARIMA models
Consumption of NonDurables in the UK
11.0 10.2 1955 10.6 log(Consumption)

1960

1965

1970 Time

1975

1980

1985

1990

ACF of returns
1.0

Partial ACF of returns

0.5

0.0

0.5

3 Lag

0.5

0.0

0.5

3 Lag

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Time Series Analysis

HS 2011

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Time series regression

US consumption function

Fitted values

Observed Distributed lag Autoregressive distributed lag

Residuals

200 1950

0 100

300 1000

3000

5000

1960

1970 Time

1980

1990

2000

2011 Christian Kleiber (U Basel)

Time Series Analysis

HS 2011

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Cointegration
European pepper prices
7000 white black

Average monthly spot price

1000

3000

5000

1975

1980

1985 Time

1990

1995

2011 Christian Kleiber (U Basel)

Time Series Analysis

HS 2011

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Structural change analysis

Change in seatbelt legislation in the UK

UK driver deaths

7.0

7.2

7.4

7.6

7.8

1970

1975 Time

1980

1985

2011 Christian Kleiber (U Basel)

Time Series Analysis

HS 2011

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GARCH models

2011 Christian Kleiber (U Basel)

Time Series Analysis

HS 2011

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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)

2011 Christian Kleiber (U Basel)

Time Series Analysis

HS 2011

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Books
Primary reference: Cryer JD, Chan KS (2008). Time Series Analysis With Applications 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.

2011 Christian Kleiber (U Basel)

Time Series Analysis

HS 2011

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Books
Cochrane JH (2005). Time Series for Macroeconomics and Finance. Lecture Notes, Graduate School of Business, University of Chicago. Franke J, Hrdle W, Hafner C (2011). Statistics of Financial a Markets, 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 den Wirtschaftswissenschaften, 2nd ed. Wiesbaden: Vieweg+Teubner Verlag. Shumway RH, Stoer DS (2011). Time Series Analysis and Its Applications, 3rd ed. New York: Springer-Verlag.

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Time Series Analysis

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R
Open-source software, freely available under GPL Current version: 2.13.1 Homepage http://www.R-project.org/ Comprehensive R Archive Network http://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=TimeSeries Extension package AER for Applied Econometrics with R http://CRAN.R-project.org/package=AER Extension package TSA for Time Series Analysis http://CRAN.R-project.org/package=TSA
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Format
Credit hours Lecture: 2 Time/place Thu 10:1512:00, JBH (WWZ) HG S13, possibly including lab sessions Exam Written exam, 90 min. Possibly extra homework, accounts for

20%.

2011 Christian Kleiber (U Basel)

Time Series Analysis

HS 2011

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