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課程介紹與要求
本課程將介紹各種單變量及多變量時間序列模型，將由最基本的時間序列觀念開始介紹，逐漸進階至更複雜的模型。本課程欲達到的目的有二：第一是藉由時間序列資料提供實務運算上一項有利的工具；第二是透過課程，介紹各種時間序列模型的理論基礎。本課程將有三次習題集及期末考，習題佔學期成績的30%，期末考定於期末考週舉行。
推薦閱讀
1.J. Hamilton.《時間序列分析》 Princeton: Princeton University Press, 1994.
2. P. Brockwell., and R. Davis. 《時間序列：理論與方法》 Second edition. New York: Springer-Verlag, 1991.
3. W. Enders. 《應用計量經濟時間序列》 New York: Wiley, 1995.
4. H. White. 《給計量學家的大樣本理論》 New York: Academic Press, 1984.
Description and Requirements
The course is an introduction to univariate and multivariate time series models. It starts by introducing basic concepts and progresses to more complicated models. The course intends to meet two goals. It provides tools for empirical work with time series data and is an introduction into the theoretical foundation of time series models. There will be three problem sets and a final exam. Thirty percent of the course grade will be based on problem sets. The final exam has been scheduled for the final exam week.
Recommended Texts
1. J. Hamilton. Time Series Analysis. Princeton: Princeton University Press, 1994.
2. P. Brockwell., and R. Davis. Time Series: Theory and Methods. Second edition. New York: Springer-Verlag, 1991.
3. W. Enders. Applied Econometric Time Series. New York: Wiley, 1995.
4. H. White. Asymptotic Theory for Econometricians. New York: Academic Press, 1984.
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