JP/EN

Syllabus

SubjectDATA SCIENCE FOR ECONOMICS AND FINANCE [DS2]/INTRODUCTION TO TIME-SERIES ANALYSIS

Class Information

Faculty/Graduate School
POLICY MANAGEMENT / ENVIRONMENT AND INFORMATION STUDIES
Course Registration Number
01196
Subject Sort
B3201
Title
DATA SCIENCE FOR ECONOMICS AND FINANCE
Field
Fundamental Subjects - Subjects of Data Science - Data Science 2
Unit
2 Unit
Year/Semester
2023 Spring
K-Number
FPE-CO-03022-211-07
Faculty/Graduate School
MEDIA AND GOVERNANCE
Course Registration Number
18441
Subject Sort
65040
Title
INTRODUCTION TO TIME-SERIES ANALYSIS
Field
Program Courses - Heisetsu
Unit
2 Unit
Year/Semester
2023 Spring
K-Number
GMG-MG-67103-211-07
Year/Semester
2023 Spring
Day of Week・Period
Tue 1st
Lecturer Name
Tatsuma Wada
Class Format
Face-to-face
Language
Japanese
Location
SFC
Class Style
＊Please click here for more information on the correspondence between 'Class Style' and ’Active Learning Methods’.
Lecture, Seminar
GIGA Certificate
Not applied

Detail

Course Summary

We will learn time series econometric techniques. In particular, we will study ARMA models, including parameter estimation and forecast. Then, we will study VAR models that deal with more than one series. We will further study state-space models, unit-root tests, and co-integration.