Teaching/2008-2009

MA641 Time Series I (Summer 2009)

Meets Mondays 6:15pm -8:45 pm Room 203, Babbio Bldg. This course is going to run over both summer semesters, once a week for 14 weeks.

Syllabus

Code used during the lectures:

lecture1.r, data sets used: daily ^GSP, minute MSFT

lecture1.1.r data monthly ^GSP

lecture 2 extra file with the eacf function from the book

lecture 3 data: GDPannual, JNJmonthly, ComercialLoan

lecture 4 data: Tbond1yr, Tbond3yr

lecture 5 data: Daily Intel, Monthly Intel

lecture 6

lecture 7

lecture 8, Data 1, Data 2

lecture on Logistic regression, r code

lecture 9

lecture 10 and data 1, 2, 3, 4, 5

A bootstrap example, data

garchoxfit_R.txt GarchOxModelling.ox

Assignments:

Assignment 1 (use the average price during each minute).sample1, sample2

Assignment 2

Assignment 3

Assignment 4 data used (file 1, 2, 3, 4)

Assignment 5

Assignment 6 data used file

Assignment 7 (final assignment) data files 1, 2, 3

A (very) brief introductio to R: IntroR.pdf

R manual from R website. I suggest you read it. Presents a introduction (100 pages). You can also have a look at all the R-manuals freely available here and the contributed documentation here. There is so much well written documentation that there is no excuse not figuring out R.I recommend however to experiment yourself and to use the very well written help system coming with R

Editor for R: Tinn-R. To download: sourceforge page

Collaboration vs. Academic Misconduct.

Stevens Honor

Make-up exam form.