課程大綱

課程資訊

課程名稱

時間序列分析
Time Series Analysis

開課學期

104-2

授課對象

社會科學院經濟學系

授課教師

銀慶剛

課號

ECON5007

課程識別碼

323 U0600

班次

學分

全/半年

半年

必/選修

選修

上課時間

星期四2,3,4(9:10~12:10)

上課地點

社科406

備註

限學士班三年級以上或限碩士班以上
總人數上限：50人

Ceiba 課程網頁

http://ceiba.ntu.edu.tw/1042ECON5007_

課程簡介影片

核心能力關聯

核心能力與課程規劃關聯圖

課程大綱

為確保您我的權利,請尊重智慧財產權及不得非法影印

課程概述

This course attempts to give a systematic account of several important time series models and their applications to the modelling and prediction of data obtained sequentially in time. Topics to be covered include: time series regression and exploratory data analysis, a brief review of linear models, autoregressive moving average models, estimation and prediction in the time domain, nonstationary time series analysis, and regression models with time series error.

課程目標

The aim of this course is to provide specific techniques for handling data and at the same time to provide a thorough understanding of the theoretical basis for the techniques. Since this is a master's-/undergraduate-level course, we will make our mathematical treatments as comprehensive/simple as possible.

課程要求

待補

預期每週課後學習時數

Office Hours

指定閱讀

待補

參考書目

1. William WS Wei (2006). Time Series Analysis : Univariate and Multivariate
Methods (2nd Edition), Addison Wesley.
2. P. J. Brockwell and R. A. Davis (1987). Time Series: Theory and Methods,
Springer-Verlag.
3. R. H. Shumway and D. S. Stoffer (2006). Time Series Analysis and Its
Applications, Springer.
4. W. A. Fuller (1996). Introduction to statistical Time Series, Wiley.
5. J. D. Hamilton (1994). Time Series Analysis, Princeton.
6. C.-K. Ing's lecture notes in mathematical statistics.

評量方式
(僅供參考)

No.	項目	百分比	說明
1.	Final Project	20%	A time series dataset will be provided for analysis in early June. Your reports must be handed in by June 30, 2016.
2.	Final Examination	30%	This is a 3-hour in-class open-book test. There is "No" make-up examination!!
3.	Midterm Examination II	30%	This is a 3-hour in-class open-book test. There is "No" make-up examination!!
4.	Midterm Examination I	30%	This is a 3-hour in-class open-book test. There is "No" make-up examination!!

課程進度

週次	日期	單元主題
第1週		Time Series Regression and Exploratory Data Analysis
第2週		Stationary Time Series, Regression Analysis, Autocorrelation Function (ACF) and Partial Autocorrelation Function (PACF) I
第3週		ACF and PACF II
第4週		Autoregressive Models: Modelling and Estimation I (Consistency)
第5週		Midterm Examination I;
第6週		Autoregressive Models: Modelling and Estimation II (CLT)
第7週		Prediction and Model Selection
第8週		An Introduction to Nonlinear Least Squares Estimates
第9週		ARMA Model: Modelling, Estimation and Prediction
第10週		Midterm Examination II
第11週		Nonstationary Time Series I
第12週		Nonstationary Time Series II
第13週		Regression Models with Time Series Error I
第14週		Regression Models with Time Series Error II
第15週		An Introduction to the Dataset for Final Reports
第16週		National Holiday
第17週		Final Examination
第18週		An Introduction to High-Dimensional Time Series