Business 41910: Time Series Analysis for Forecasting and Model Building

Autumn Quarter of 2005

Instructor: Ruey S. Tsay

Office: HPC 455
Tel:      773-702-6750
Fax:     773-702-0458
e-mail: ruey.tsay@ChicagoGSB.edu

Class: Wednesday 8:30 am -- 11:30 am, starting September 28.

Office hour: (a) Tuesday, 11:00 am -- 12:00 noon.
                     (b) By appointment
You may e-mail me questions. E-mail is the easiest way
to make contact with me. I try to check the e-mail at least
once a day.

Teaching Assistant:
Mr. Shang-Chan Chiou with e-mail: schiou@gsb.uchicago.edu

Text:  No textbook is used

Some reference books:
(a) Time Series Analysis: Forecasting and Control. Box, Jenkins and Reinsel (1994),
      3rd Ed. Prentice Hall.  [First 9 chapters]
(b) Analysis of Financial Time Series, 2nd Edition, Tsay (2005), Wiley.
      [Chapters 2, 11, and 12]
(c) A Course in Time Series Analysis: Pena, Tiao and Tsay (2001), Wiley
(d) Time Series Analysis by State Space Methods: Durbin and Koopman (2001),
      Oxford University Press.
(e) Time Series Analysis: Hamilton (1994), Princeton University Press.
(f) Additional books are given in the course syllabus.

Some reference articles will also be given.

Course Syllabus.

Grading: Midterm 30% + Final Exam 40% + Homework 30%

where scores of each component are normalized to be out of 100.
No late homework assigments are accepted.

Lecture:

Week 1: lec1.pdf, lec2.pdf,  and lec3.pdf  
Week 2: lec4.pdf, lec5.pdf,  and lec6.pdf
Week 3: lec7.pdf  and lec8.pdf    
Week 4: lec9.pdf  and lec10.pdf   
Week 5: lec11.pdf and lec12.pdf 
Week 6: Mid-term (finish lec12),  solution to midterm
Week 7: lec13.pdf    data set: airpml.txt   
Week 8: lec14.pdf and lec15.pdf  
Week 9: lec16.pdf 
Week 10:  lec17.pdf 

Computing:
(1) SCA will be used for most analyses in class. SCA is available on
      all GSB machines.
(2) R and S-Plus are also used, especially for Kalman filtering.
      For R, the recent version 2.1  or higher is recommended.
(3) Students can use other packages, e.g., SAS, SPSS, MATLAB, 
      to answer hw questions.

Some commands for  SCA, S-Plus, and R:
SCA-commands,   S-Plus-commands,  R-commands   

R code for EACF: eacfR.txt

Homework Assignment:

Week 1: HW1  (due in one week)   Solution: HW1S   additional file: hw1_4.doc 
Week 2: HW2  (due in one week)   Solution: HW2S
               Data set: hous.dat  
Week 3: HW3  (due in one week)  Solution: HW3S  
Week 4: HW4  (due in one week)  Solution: HW4S  
               Data sets: hw4a.txt, hw4b.txt, hw4c.txt, hw4d.txt, hw4e.txt, and hw4f.txt 

Week 7: HW5  (due in one week) Solution:  HW5S 
               Data sets: gdp.txt   and dpi.txt 
Week 8: HW6  (due in one week) Solution:
               Data sets: production.txt  and d-exjpus.txt  

Final Exam: Solutions to Final exam