課程資訊
課程名稱
 時間序列分析
Time Series Analysis 
開課學期
 103-2 
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
 3 
全/半年
 半年 
必/選修
 選修 
上課時間
 星期二5,6,7(12:20~15:10) 
上課地點
 社科402 
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/1032ECON5007_ 
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, autoregressive moving average models, estimation and prediction in the time domain, spectral analysis, 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
  
預期每週課後學習時數
  
Office Hours
  
指定閱讀
  
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. E. L. Lehmann (1983). Theory of Point Estimation, Springer. 
評量方式
(僅供參考)
  
No.
項目
百分比
說明
1. 
 Midterm Examination I 
20% 
 This is a 2-hour in-class open-book test. There is "No" make-up examination!! 
2. 
 Midterm Examination II 
30% 
 This is a 3-hour in-class open-book test. There is "No" make-up examination!! 
3. 
 Midterm Examination III 
20% 
 This is a 2-hour in-class open-book test. There is "No" make-up examination!! 
4. 
 Final Examination 
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
 2/24  Introduction  
第2週
 3/03  Time Series Regression and Exploratory Data Analysis  
第3週
 3/10  Stationary Time Series, ACF and PACF  
第4週
 3/17  Sample ACF and PACF I 
第5週
 3/24  Midterm Examination I;
Sample ACF and PACF II 
第6週
 3/31  Autoregressive Models: Modelling and Estimation I 
第7週
 4/07  Autoregressive Models: Modelling and Estimation II 
第8週
 4/14  Prediction and Model Selection I 
第9週
 4/21  Midterm Examination II 
第10週
 4/28  Prediction and Model Selection II 
第11週
 5/05  Nonstationary Time Series I 
第12週
 5/12  Nonstationary Time Series II 
第13週
 5/19  Midterm Examination III;
Asymptotic Theory for Maximum Likelihood Estimates and Nonlinear Least Squares Estimates I 
第14週
 5/26  Asymptotic Theory for Maximum Likelihood Estimates and Nonlinear Least Squares Estimates II 
第15週
 6/02  ARMA Model: Modelling, Estimation and Prediction  
第16週
 6/09  Regression Models with Time Series Error I  
第17週
 6/16  Regression Models with Time Series Error II  
第18週
 6/23  Final examination