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。

This course mainly introduces the time series analysis and provides students with understanding the use of time series models in economic models. We hope that students can cultivate their research ability during the learning process.

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。內容包含時差運算子的使用、差分方程式、穩定及非穩定數列的分析，以ARMA(p,q)為基礎的概似函數(conditional及exact)估計及譜系分析。

This course mainly introduces the time series analysis and provides students with understanding the use of time series models in economic models. We hope that students can cultivate their research ability during the learning process. The content includes the use of time difference operators, the analysis of differential equations, stable and non-stable columns, and the general functional and exact estimates and the analysis of the correlation based on ARMA(p,q) are used.

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

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), Economic analysis.

Reference papers:
1.Engle, R.F. and Granger, C.W.J., 1987, Cointegration and Error Correction: Representation, Estimatoin and Testing, Economica, 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, Economica 49, 1057-1072.
3.Phillips, P.C.B. (1987), Time series regression with a unit root. Economica 55, 277-301.
4.Johansen, S. (1991), Estimation and hypothesis testing of coordination vectors in Gaussian vector autoregressive models, Economica 59, 1551-1580.
5.Nelson, Daniel B. (1991), Conditional Heteroskedasticity in Assst Returns: A New Approach, Economica, Vol.59, 347-370.
6.White, H. (1980), A heteroscedasticity consistent covariance matrix estimator and a direct test of heteroscedasticity, Economica, vol. 48, 1980, pp. 817-81