Instructor Achim Zeileis Department of Statistics Universität Innsbruck E-mail:
[email protected] URL: http://eeecon.uibk.ac.at/~zeileis/
Time Series Analysis Syllabus
© 2014 Achim Zeileis (Dept. of Statistics, Universität Innsbruck)
Time Series Analysis – Syllabus – 0 / 13
Overview
© 2014 Achim Zeileis (Dept. of Statistics, Universität Innsbruck)
Time Series Analysis – Syllabus – 1 / 13
Time series decomposition UK driver deaths (in logs)
trend
ARIMA models Stationarity, unit roots, and cointegration
season
7.8 0.15−0.1 0.00
remainder
Multivariate time series models
−0.15
GARCH models
0.1
7.2
Time series regression and structural change
7.4
Stochastic processes
7.67.0
Smoothing and decomposition methods
7.4
observed
Introduction
1970
1975
1980
1985
Time © 2014 Achim Zeileis (Dept. of Statistics, Universität Innsbruck)
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© 2014 Achim Zeileis (Dept. of Statistics, Universität Innsbruck)
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ARIMA models
Time series regression
1955
1960
1965
1970
1975
1980
1985
1990
5000
Observed Distributed lag Autoregressive distributed lag
3000
Fitted values
10.6
11.0
US consumption functions
10.2
log(Consumption)
Consumption of Non−Durables in the UK
−0.5 0
1
2
3
4
5
1
Lag
2
3
4
5
1950
1970
1980
1990
2000
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Cointegration
© 2014 Achim Zeileis (Dept. of Statistics, Universität Innsbruck)
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Structural change analysis European pepper prices
Change in seatbelt legislation in the UK
7.4 7.0
7.2
UK driver deaths
3000 1000
7.6
7.8
white black
5000
7000
1960
Lag
© 2014 Achim Zeileis (Dept. of Statistics, Universität Innsbruck)
Average monthly spot price
0 100 −200
−0.5
0.0
0.0
0.5
0.5
Residuals
Partial ACF of returns
1.0
ACF of returns
300 1000
Time
1975
1980
1985
1990
1995
observed fitted 1970
1975
Time © 2014 Achim Zeileis (Dept. of Statistics, Universität Innsbruck)
1980
1985
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© 2014 Achim Zeileis (Dept. of Statistics, Universität Innsbruck)
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GARCH models
Requirements Linear regression: Ordinary/weighted/generalized least squares estimation Gauss-Markov theorem Inference (t and F tests) for linear hypotheses Robust standard errors Regression diagnostics Factors and interactions Model selection
© 2014 Achim Zeileis (Dept. of Statistics, Universität Innsbruck)
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Books
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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: Springer-Verlag. Cochrane JH (2005). Time Series for Macroeconomics and Finance. Lecture Notes, Graduate School of Business, University of Chicago. © 2014 Achim Zeileis (Dept. of Statistics, Universität Innsbruck)
© 2014 Achim Zeileis (Dept. of Statistics, Universität Innsbruck)
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Franke J, Härdle W, Hafner C (2004). Einführung in die Statistik der Finanzmärkte, 2nd ed. New York: Springer-Verlag. Hamilton JD (1994). Time Series Analysis. Princeton: Princeton University Press. Kirchgässner G, Wolters J (2005). Einführung in die moderne Zeitreihenanalyse. München: Verlag Vahlen. Lütkepohl H (2005). New Introduction to Multiple Time Series Analysis. New York: Springer-Verlag. Neusser K (2006). Zeitreihenanalyse in den Wirtschaftswissenschaften. Wiesbaden: Vieweg+Teubner Verlag. Tsay RS (2005). Analysis of Financial Time Series, 2nd ed. Hoboken, NJ: John Wiley & Sons. Zivot E, Wang J (2006). Modelling Financial Time Series with S-PLUS, 2nd ed. New York: Springer-Verlag. © 2014 Achim Zeileis (Dept. of Statistics, Universität Innsbruck)
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R
Format Open-source software, freely available under GPL
http://www.R-project.org/ Current version: 3.0.2 Comprehensive R Archive Network
Credit hours VO: 3 SE: 1 Time/place VO/SE: Thursday, 13:00–17:00, SR 7 (Sowi)
http://CRAN.R-project.org/ Windows setup program (∼ 52 MB) ../bin/windows/base/R-3.0.2-win.exe
Content VO: Theory + application in R SE: Exercises, practical case studies, discussions
Econometrics task view:
http://CRAN.R-project.org/view=Econometrics Time series task view:
http://CRAN.R-project.org/view=TimeSeries
Exam VO: Written exam (prequisite: SE) SE: Regular participation in SE activities
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 © 2014 Achim Zeileis (Dept. of Statistics, Universität Innsbruck)
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© 2014 Achim Zeileis (Dept. of Statistics, Universität Innsbruck)
Time Series Analysis – Syllabus – 13 / 13