Department of Statistics and Operations Research University of Vienna Oskar-Morgenstern-Platz 1, 1090 Vienna, http://www.isor.univie.ac.at MULTIVARIATE TIME SERIES ANALYSIS Summer Semester 2017 Course Code / Type /Title: 040973 / UK / Multivariate Zeitreihenanalyse Hours / ECTS credits: 3/4 Preliminary Meeting: Class Time / Location: Language of Instruction: Prerequisites:
Tuesday, 09:45, March 7, PC-SR 5, OMP1, basement Tuesday, 09:00−11:15, PC-SR 5, OMP1, basement German Linear models, univariate time series analysis
Instructor: E-mail: Homepage:
Erhard Reschenhofer
[email protected] http://homepage.univie.ac.at/erhard.reschenhofer/
Course Objective:
Introduction to the analysis of multivariate time series
Assessment:
Projects: 24 points = 3 × 8 Exercises: 4 points = 2 × 2 Proofs: 28 points = 28 × 1 Grading: 1: 50-56, 2: 43-49, 3: 36-42, 4: 29-35, 5: 0-28
Topics Covered:
Basic elements of Fourier analysis Cross spectral analysis Multivariate ARMA processes Some asymptotic theory for AR(1) processes Unit root tests Cointegration
Tool for Data Analysis:
R
Lecture Notes:
Advanced Time Series Analysis (online: http://homepage.univie.ac.at/erhard.reschenhofer/)
Textbooks:
P.Bloomfield: Fourier Analysis of Time Series. John Wiley & Sons P.J.Brockwell & R.A.Davis: Time Series: Theory and Methods. Springer J.D.Hamilton: Time Series Analysis. Princeton University Press H.Lütkepohl: New Introduction to Multiple Time Series Analysis. Springer E.Zivot&J.Wang: Modeling Financial Time Series with S-PLUS®. Springer
Prj. 1. 2. 3. 4. 6. 7. 8. 9. 10. 11. 12.
07.03. 14.03. 21.03. 28.03. 04.04. 25.04. 02.05. 09.05. 16.05. 23.05. 30.05.
Introduction Fourier Analysis 1-4, CI 1-4 Fourier Analysis 5-10, CI 5 -7 Cross Spectrum 1-6 Cross Spectrum 7-15 Multivariate ARMA 1-6 Multivariate ARMA 7-14 Asymptotic Theory 1-4 Asymptotic Theory 5-8 Unit Root Tests 1-7 Unit Root Tests 8-12
12. 13. 14.
13.06. 20.06. 27.06.
Cointegration 1-6 Cointegration CI 8-12
Project 1: Project 2: Project 3:
1 1 1 2 2 2 2 2 3 3
Exercises
Proofs
FG FV FI FN FP FE FF A0 C1 C2 CR CS CG CZ MS MV MN PG PV PC PI PA 2S 2W 2D 2N U1 U2 UC UN
FB FS AZ AR CL CC CI MR MD ME PL PD TC TM T4 TG 2V 2O 2L 2A UL UB UD
RV C1 C2
RM R2 RU RL CE
CI 1-7, Fourier Analysis 9-10 Cross Spectrum 12-15, Multivariate ARMA 9-11 Cointegration 1,3,4,7 (and/or CI 8-12)
2