112年第2學期-6283 時間序列分析 課程資訊

評分方式

評分項目	配分比例	說明
課堂參與及資料分析操作	30
平時作業報告	30
期末報告及期末測驗	40

教育目標

本課程主要是針對時間數列分析做一廣泛介紹,提供學生了解時間數列模型在經濟模型中的使用，希望學生在學習的過程中能培養研究的能力。從AR、MA、及GARCH模型開始介紹,包括模型的認定及其內涵。在時間數列的應用上需注意那些事項。

基本資料

選修課，學分數：0-2
上課時間：四/3,4[SS422]
修課班級：經濟系4,碩1,2
修課年級：1年級以上
選課備註：教室SS422

參考書目

Hamilton, J. D. (1994), Time Series Analysis.
Reference books:
Fuller, W. A. (1996), Introduction to statistical Time series.
Box, Jenkins, and Reinsel (1994) Time Series Analysis Forecasting and control.
Priestly, M.B. (1981), Spectral Analysis and Time Series.
Greene, W. H. (2008), Econometric analysis.

Reference papers:
1.Engle, R.F. and Granger, C.W.J., 1987, Cointegration and Error Correction: Representation, Estimatoin and Testing, Econometrica, Vol. 55, No. 2, pp. 251-276.
2.Dickey, D. A., and Fuller, W. A. (1981), Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica 49, 1057-1072.
3.Phillips, P.C.B. (1987), Time series regression with a unit root. Econometrica 55, 277-301.
4.Johansen, S.(1991), Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrica 59, 1551-1580.
5.Nelson, Daniel B. (1991), Conditional Heteroskedasticity in Assst Returns：A New Approach, Econometrica, Vol.59, 347-370.
6.White, H. (1980), A heteroscedasticity consistent covariance matrix estimator and a direct test of heteroscedasticity, Econometrica, vol. 48, 1980, pp. 817-81