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Root number
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540 |
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Semester
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FS2026 |
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Type of course
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Lecture |
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Allocation to subject
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Economics |
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Type of exam
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not defined |
| Title |
Time Series Analysis I |
| Description |
*** IMPORTANT ***
For the most updated administrative course information (date changes, room changes etc) please always refer to the KSL page only and not to the Info page in ILIAS – the ILIAS infopage will not be updated!
Prof. Dr. Costanza Stettler (former Naguib)
*** please note that effective FS2024 this course will only be open for Bachelor students ***
This course provides an introduction to univariate time series analysis. Many real-world phenomena such as the evolution of world temperatures or stock market prices can be described via time series modelling.
The first part of the course introduces the core models, i.e. MA(p), AR(q) and ARMA(q,p). Basic time series concepts like stationarity and invertibility are defined and analysed, as well as the autocovariance function. The second part of the course is devoted to some complementary topics, such as forecasting, order selection for an ARMA(q,p) model, and unit-root testing. Finally, spectral analysis is tackled. Every second week, an exercise session takes place. During this session, exercises are presented and solved by the assistant.
Readings: the main textbook for this course is: Brockwell, P. J., Davis, R. A., & Calder, M. V. (2002). Introduction to time series and forecasting (Vol.
2). New York: springer. Further materials may be provided during the course.
Language: English
Credits: 3 SWS / 4.5 ECTS
Prerequisites: Econometrics I is recommended
1. Exam: Thursday, 28.05.2026, 08.15 - 10.00h (105 min), 115, H4
2. Exam: Thursday, 10.09.2026, 08.15 - 10.00h (105 min), tba
Lecture:
Thursday, 08:15 - 10:00h, 115, H4
Exercises: Teaching assistant Miguel Salema (miguel.salema@unibe.ch)
Fridays, 14.15-16.00 hrs, 115, H4 |
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ILIAS-Link (Learning resource for course)
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No registration/deregistration in CTS (Admission in ILIAS possible).
ILIAS
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Link to another web site
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| Lecturers |
Prof. Dr.
Costanza Stettler, Department of Economics ✉
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ECTS
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4.5 |
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Recognition as optional course possible
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No |
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Grading
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1 to 6 |
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| Dates |
Thursday 08:15-10:00 Weekly
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Friday 14:15-16:00 Fortnightly
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Friday 20/3/2026 14:15-16:00
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Friday 17/4/2026 14:15-16:00
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Friday 15/5/2026 14:15-16:00
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Thursday 10/9/2026 08:15-10:00
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| Rooms |
Seminarraum 115, Hauptgebäude H4
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| Students please consult the detailed view for complete information on dates, rooms and planned podcasts. |
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