課程名稱 |
高等時間數列專題 Topics of Advanced Time Series Analysis |
開課學期 |
101-1 |
授課對象 |
社會科學院 經濟學研究所 |
授課教師 |
刁錦寰 |
課號 |
ECON7154 |
課程識別碼 |
323 M3730 |
班次 |
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學分 |
3 |
全/半年 |
半年 |
必/選修 |
選修 |
上課時間 |
星期一6,7,8(13:20~16:20) |
上課地點 |
社科5 |
備註 |
與林金龍合開 限碩士班以上 總人數上限:50人 |
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1011TATSA |
課程簡介影片 |
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核心能力關聯 |
核心能力與課程規劃關聯圖 |
課程大綱
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課程概述 |
The course starts with a lecture introducing time series modeling strategy and
its usage. Then, several lectures are devoted to Box-Jenkins modeling procedures
for univariate time analysis, including identification, estimation, diagnostic checking and forecasting of a time series model. Seasonal models with applications is also discussed. Intervention and outlier, two important topics are illustrated with examples followed by some discussion on unit root test. |
課程目標 |
This course focuses exclusively on methods and applications of time series
analysis designated for graduate students majoring in economics, finance, statistics, engineering, or other related fields. Both univariate and multivariate time series modeling are covered. |
課程要求 |
Pre-required course: econometrics or mathematical statistics |
預期每週課後學習時數 |
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Office Hours |
另約時間 |
指定閱讀 |
3 Packets
Additional notes distributed in class
SCA (statistical software)
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參考書目 |
Box, G, Jenkins, G. and Reinsel, R. (1994) Time Series Analysis, Forecasting
and Control, 3rd edition, Prentice Hall
Wei, W.S. (2006) Time Series Analysis: Univariate and Multivariate methods
2nd edition, Addison Wesley
Pena, D. Tiao, C. and Tsay, R.S. (2001) A Course in Time Series Analysis,
John Wiley & Sons |
評量方式 (僅供參考) |
No. |
項目 |
百分比 |
說明 |
1. |
Homework |
20% |
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2. |
Midterm |
40% |
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3. |
Final project |
40% |
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週次 |
日期 |
單元主題 |
第1週 |
9/10 |
Introduction |
第2週 |
9/17 |
Box-Jenkins univariate time series modeling (I) |
第3週 |
9/24 |
Box-Jenkins univariate time series modeling (II) |
第4週 |
9/29 (六) |
Box-Jenkins univariate time series modeling (III) |
第5週 |
10/6(六) |
Box-Jenkins univariate time series modeling (IV) |
第6週 |
10/8 |
Box-Jenkins univariate time series modeling (V) |
第7週 |
10/13(六) |
Box-Jenkins univariate time series modeling (VI) |
第8週 |
10/15 |
Box-Jenkins univariate time series modeling (VII) |
第9週 |
10/22 |
Seasonal models |
第10週 |
10/29 |
Intervention and outlier analysis |
第11週 |
11/3(六) |
Unit root problems |
第12週 |
11/5 |
Review |
第13週 |
11/10(六) |
Midterm exam. |
第14週 |
11/12 |
Multivariate time series modeling (I) |
第15週 |
11/19 |
Multivariate time series modeling (II) |
第16週 |
11/26 |
Multivariate time series modeling (III) |
第17週 |
12/03 |
Seasonal adjustment |
第18週 |
12/17 |
Final Project Presentation |
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