Time Series 2008 Spring

General Information

• Course Number: F120545
• Lectures: 1-12 week ,Tuesday 9:00-11:45am
• Classroom: Antai 204
• Office Hour: Wednesday 1:00-2:00pm or by appointment
• Office: North Building #413
• Phone: 021-52301191

Prerequisites

• Undergraduate statistics or econometrics

Overview

This course is intended for graduate students majoring in business. It introduces basic models in time series, including ARIMA, ARCH/GARCH, etc. This course is practice-intensive, including six computer labs. At the end of the course, students are expected to be able to implement models in R, an open-source statistical package.

Textbooks

The main textbook is Tsay (2002). Shumway and Stoffer (2006) and Hamilton (1994) are also helpful. In particular, all examples in Shumway and Stoffer (2006) are written in R.

1. James D. Hamilton, 1994, Time Series Analysis, Princeton University Process
2. Shumway & Stoffer, 2006, Time Series Analysis and Its Applications, Springer
3. Ruey S. Tsay, 2002, Analysis of Financial Time Series, Wiley

Outline

• Lecture 1: Preliminaries (Tsay Ch. 1)
• Lecture 2: Lab 1: R Tutorial
  • You must install R on your computer. For an appropriate installer, go to R project
  • Assignment: IntroR (It's a doc file. You may use WSP to open it)
  • R Program:
    • sum_stat.rar
  • Data:
    • monthly_index.csv
    • monthly_stocks.csv
    • monthly_us .csv
    • index.csv
    • stocks.csv
    • us.csv
  • Other resources: R for Beginners; Econometrics in R
• Lecture 3: ARMA Models (Tsay Ch. 2)
• Lecture 4: Lab 2
  • Assignment: Lab 2
  • R Program: loadata.rar
  • Data:
  • stocks.csv (New!)
• Lecture 5: Unit Roots, Seasonality, and Vector Models (Tsay Ch. 2 and 8)
• Lecture 6: Lab 3
  • Assignment: Lab 3
  • In this lab, you'll need two libraries: "tseries" and " vars", which requires "strucchange", "zoo", "sandwich", "urca", and "quadprog". Download these two packages from here: "tseries", "vars", "strucchange", "zoo", "sandwich", "urca", "quadprog". After downloading these packages, load them into R using the menu "Packages"->"Install package(s) from local zip files".
  • Data:
    • ppp.csv
    • usgdp.csv
    • sp.csv
• Lecture 7: ARCH/GARCH Models (Tsay Ch. 3)
• Lecture 8: Lab 4
  • Assignment Lab 4
  • Data: We use daily log returns on SSECI and Bao Steel. You can use "loadata.r" to load the data into S-Plus.
• Lecture 9: Nonlinear Time Series (Tsay Ch. 4)
• Lecture 10: Lab 5
  • Assignment Lab 5
  • Data:
    • forex.csv
    • monthly_forex.csv
    • tcm.csv
    • wtcm.csv
• Lecture 11: Multivariate ARCH/GARCH (Tsay Ch. 9)
• Lecture 12: Lab 6 and a review session
  • Assignment Lab 6

Exemplar:

• Lab 1 (by Fang, Qin)
• Lab 2 (by Dong, Jing)
• Lab 3 (by Fang, Qin)
• Lab 4 (by Fang, Qin)

Grading

Last updated: Jan 15, 2008