B3 - Time Series Analysis - Fall 2015 Department of Statistics

B3 - Time Series Analysis – Schedule This schedule is as of Saturday, November 07, 2015. Table of Contents Teachers ..................................................................................................................................... 2 Literature .................................................................................................................................... 2 Examination ............................................................................................................................... 3 Schedules .................................................................................................................................... 3 Lectures .................................................................................................................................. 4 Problem solving classes and HWA time line ......................................................................... 5 Problem solving classes ............................................................................................................. 5 Home Work assignments ........................................................................................................... 6 General information ............................................................................................................... 6 Software – R ........................................................................................................................... 6 HWA – Handing in ................................................................................................................ 7 Specifics about the hand-in .................................................................................................... 7 HWA – handing back, corrections and final deadline ........................................................... 8 About the writing of the report ............................................................................................... 8

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B3 - Time Series Analysis - Fall 2015 Department of Statistics

This document contains basic information and schedule about the B3 Time Series Analysis course, given by Department of Statistics, Uppsala University in the Spring of 2015.

Registration

All registration issues/ questions should be directed to the student office, 018-471 1010, room A338, [email protected].

Teachers Lecturer:



Yukai Yang, PhD, room B339, [email protected].

Teaching Assistants: Problem solving classes: Måns Unosson, room B341 [email protected] David Randahl, room B341 [email protected]

Literature Textbook:

Cryer and Chan: Time Series Analysis, with applications in R, 2nd ed. Springer Verlag, (First edition is not recommended) Recommended reading: Asteriou and Hall: Applied Econometrics, 2nd edition, (1st edition is OK.). Reference reading: Sydsaeter and Hammond: Essential Mathematics for Economic Analysis, 3rd ed. Prentice Hall. (Earlier editions OK – i.e. Swedish edition is OK.)

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Examination Examination consists of two parts: • •

Two HomeWork Assignments (HWAs) and a written exam.

Exam: 02-Dec-2015 13.00-17.00 Bergsbrunnagatan 15, sal 1(room 1) Required exam registration no later than 20-Nov-2015 Supplementary Exam: 12-Jan-2016 14.00-18.00 Bergsbrunnagatan 15, sal 2 (room 2) Required exam registration no later than 31-Dec-2015 About registration for the exam(s): You register on studentportalen, default deadline is 12 calendar days before the exam. If that for some reason does not work, or you have missed this deadline – please contact the student office: Ann Gunnarsson, 018-471 1011, [email protected]. About the Home Work Assignments, see the separate headline below.

Schedules Below, find the different schedules needed for the course: • • •

Schedule for Lectures. Schedule for Problem solving classes Time Line for the Home Work assignments

For all schedules: Due to an old academic tradition1, please note that the notation 12-15, actually means 12.15 – 15.00, likewise 09-12, means 9.15-12.00 etc. For all lectures and classes, there will be a 15 min break after each 45 min.

1 Back in the day, when people did not have watches, the clock-tower bell rung every whole hour, and then

the Professor and students took off to the lecture, and arrived around quarter pass, and lecture started.

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Lectures



Venue: Ekonomikum, Kyrkogårdsgatan 10, Uppsala, Sweden. Lecturer all lectures: YY. Lec. Week Day



Date

Time

Room

Contents

Read

1

45

Mon 02-Nov

12-15

A114

Introduction, overview

2

45

Tue 03-Nov

12-15

A114

Fundamental concepts

Ch2

3

45

Thu 05-Nov

12-15

A114

Trends - deterministic and stochastic trends

Ch3

4

46

Mon 09-Nov

12-15

A114

Stationary time series

Ch4

5

46

Tue 10-Nov

12-15

H425

Ch5

6

Non-stationary processes

46

Thu 12-Nov

09-12

H425

Model specification

Ch6

7

47

Mon 16-Nov

09-12

H425

Parameter estimation

Ch7

8

47

Tue

17-Nov

12-15

A114

Model diagnostics

Ch8

9

48

Mon 23-Nov

12-15

H425

Forecasting

Ch9

10

48

Tue 24-Nov

12-15

H425

Modeling conditional Heteroscedasticity

Ch12

B3 - Time Series – Schedule





Ch1



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Problem solving classes and HWA time line Day

Date

Lectures

Problem solving Classes Group1 Group 2

Home Work Assignments HWA1 HWA2

Mon Tue Thu Fri

02-Nov 03-Nov 05-Nov 06-Nov

12-15 A114 12-15 A114 12-15 A114

C1 13-15 B125



Mon 09-Nov Tue 10-Nov Wed 11-Nov Thu 12-Nov Fri 13-Nov Mon 16-Nov Tue 17-Nov Wed 18-Nov Thu 19-Nov Mon 23-Nov Tue 24-Nov Wed 25-Nov Mon 30-Nov Wed 02-Dec Thu 03-Dec Fri 04-Dec Mon 07-Dec Fri 11-Dec Mon 14-Dec Mon 18-Dec





12-15 A114 C1 8-10 B139 Handed out 12-15 H425 C2 9-11 B153 C2 15-17 B125 09-12 H425 C3 13-15 B125 C3 10-12 B105 09-12 H425 C4 13-15 B125 Handed out 12-15 A114 C4 9-11 B139 C5 13-15 B125 C5 10-12 B125 12-15 H425 Deadline 12-15 H425 C6 15-17 A122 C6 13-15 A122 Handed back Deadline EXAM1 EXAM1 EXAM1 EXAM1 EXAM1 EXAM1 EXAM1 EXAM1 EXAM1 EXAM1 Corrections due Handed back Corrections back Corrections due Corrections Back

Legend: Example ”CX: 14-16 B115” reads: Class #X will take place Time: 14.15-16.00 in Room B115 Hand out – Assignment will be downloadable on Studentportalen

Problem solving classes In the problem solving class the teachers will go through exercises and problems. Due to the number of students there will be two groups. The first lectures there will a list where you will be given the opportunity to sign up for group 1 or 2. Regarding this document, please report any typos, inconsistencies or other errors, as well as, suggestions, comments on content or layout to [email protected]. Any feedback is most welcome. HWA – Time series doc

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Home Work assignments General information Please note the following: 1. You do the HWAs in groups of 2-3 students. a. Two students in each group is the optimal number. b. Four students in a group is not ok. c. If your personal schedule implies that it is difficult to find times to work with other students, it is OK to do the HWA alone. 2. The HWAs are mandatory for the course and will be given the grades: a. Pass or b. Not Yet Pass. 3. If you receive the grade Not Yet Pass, that grade will last until the HWA passes. 4. The grade or time it will take to get a Pass on the HWA will not affect the final grade on the course. 5. The grade for the course will be determined solely by the result on the written exam. 6. You will hand in a .pdf-file with your report, see below.

Software – R The tasks will require R. R is installed in the following computer rooms: 1. H319 2. H325 3. H326. If you have problems with access to the labs, with the computers, with logging on to you account, or with remote desktop connection etc: Do not hesitate to contact: Pierre Hjälm, Room B217 Email: [email protected] Phone: +46 (18) 471 10 44 It is his job to make sure that everything works. When you get a hold of him, do not let him go until the problem is solved. Concerning the software R: 1. You will and must do the HWAs in the R software, that is, you cannot do the HWAs using any other software. 2. You will need to hand in the R script files among the other files. The results should be consistent with the R scripts that you hand in, which means the results can be replicated by rerunning the R scripts. 3. Besides the R scripts, you may have to submit: a. the data set that you have used, if it is not given by the teachers;

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b. if you have simulated the data, the seed for the random number generator by including it explicitly in the R script.

HWA – Handing in Some basic information about the formalities of the HWA: 1. See the schedule (time line) for when HWAs are handed out (uploaded on Ping Pong), when they are due and when they are handed back. 2. Handing in is done in studentportalen. a. In the left column of studentportalen you see the Hand-in funtions. b. You hand in a .PDF file with your report. NOT a word file. 3. Please note that one and only one student from each group should hand in (upload) the HWA. This student will also be the student to which the HWA is handed back. 4. The deadlines and times for handing back etc. are given in the time line. a. Given the date in the time line, studentportalen will close the hand in function 23.59.00 that day, i.e. you have until (one minute before) midnight. 5. The HWAs are to be written in a word processing software, such as a. word, b. scientific workplace, c. scientific word, d. or any latex based software. e. Then you compile it (save as) a .pdf and hand in the .pdf file. 6. No handwritten hand-ins. Handwritten and scanned HWAs will not be graded, and will be handed back ungraded with the status of ‘not yet passed’ until this is addressed. 7. Every part of the HWA must be written in a word processing software, i.e. formulae must be typed in an equation editor of some kind – it is not ok to write formulae by hand, scan the handwritten pages and include them in the report.

Specifics about the hand-in When uploading the HWA on Studenportalen - The name of the .pdf file should be: 1. For the first HWA: “HWA1-Fall2015-Familyname-FamilynameFamilyname.pdf” 2. For the second HWA: “HWA2-Fall2015-Familyname-FamilynameFamilyname.pdf” 3. Family names must be in alphabetical order.

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4. You replace the text 'Familyname' with the family name of the first group member second etc., as ordered in alphabetical order by family name. 5. Note that there should be NO FIRST NAMES in the name of the file. 6. Please step up and show that you can follow these instructions.

HWA – handing back, corrections and final deadline If you get a not yet pass on your HWA, here is what you do: 1. You address the issues that are noted in the PDF, that is, you fix what is not correct. 2. You incorporate the changes in the existing report, and you upload the whole report again. 3. The idea here is that, in any subsequent hand-in, it should be a complete report. It should be possible to read the completed and error free report from start to finish. This is the way things are done in “real working life”, and in any submission of a paper to a scientific journal. 4. If you, by any chance, despite the directions outlined above – hand in a document with only the corrections – it will not be considered a legitimate hand-in, it will not be graded, and the HWA will have the status ‘not yet passed’ until this is addressed. 5. Any questions about grading should be directed to the teaching assistant. Also note that there is a final deadline regarding the HWAs. This is indicated in the time line above. This date is the last date you can submit the HWA(s) for this semester. If that final submission does not pass, you will not pass the course this semester and have to resubmit the HWA(s) the next semester in order to pass the course. If so, you need only to resubmit the HWA(s) that you did not pass, you do not need to redo the HWAs that you have passed, or the exam if you have passed. In the event that the nature of the HWAs have changed from one semester to the next, for the first semester with new HWA(s) it is ok for you to submit the previous semesters HWA. After that you will have to submit the new HWA, with the corresponding number.

About the writing of the report How then do you write the report? A report has three main parts: 1. The main part 2. The references (if any citations) 3. An appendix (optional) In the main part of the presentation you should present the problem, what you are doing, and important results are reported. (It should be possible to understand the issue without reading the instructions to this assignment.) In the main part you include the main results. You can include some but not all R outputs that the work has generated.

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If you cite any work by the others, e.g. articles from some journals, quotations from some books, and etc., then you will need the references part. You can freely choose the style of the references as you wish, but the style should be clear and easy to read. In the appendix you put the R outputs that are not included in the main part. All R outputs, be it estimation results, graphs or tables, must be numbered and you must include a caption to all these outputs. The idea is that, by reading the caption of the output, it must be perfectly clear what is being displayed in the output. By numbering the R outputs, you can refer to them in the main part of the report, that is, you can write about these outputs in the main report without including them in the main report (just in the Appendix). The graphs can be made through other software, if you are more familiar with that than the R plotting facilities. In the appendix, you can also put some detailed derivations or proofs, if you think they are interesting but should not necessarily appear in the main part. General instructions of the written presentation could be formulated like: 1. The disposition of the presentation should be easy to understand. 2. Report what you have done, why and how, and the results. 3. All the models that are estimated should be presented in formulae and you should make comment of the models. 4. When you report results of the estimations, there should be no doubt of which model is being estimated. 5. There should be no doubt about which variables that is used in each model. 6. It should be easy to read and understand what you have done, and how you have done this. Summary: For each model you estimate, you should present the model in formulae and present the theoretical motivation of the model (economic theory, expected signs of the estimates and so on). Then you present the results from the estimation. Parameter estimate, standard errors, tratios and p-values should be reported in this context, (here you should copy and paste only this part of the R output). The report should be well structured and easy to read. Use page numbers and give title and number to each Figure and Table. For tables in the main part - use no more than three decimals.

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End of document. B3 - Time Series – Schedule

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