ETW3450 - Applied time series econometrics

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Overview

Time series is any series of observations ordered along a time dimension. This unit introduces you to the theory and application of time series methods in econometrics. Topics covered will include modern univariate and multivariate models of stationary and non-stationary time series. You will be able to undertake independent time … For more content click the Read More button below.

Time series is any series of observations ordered along a time dimension. This unit introduces you to the theory and application of time series methods in econometrics. Topics covered will include modern univariate and multivariate models of stationary and non-stationary time series. You will be able to undertake independent time series analysis on a range of business and economic data. You can also expect to enhance their computer skills in R when conducting empirical analysis.

Offerings

S1-01-MALAYSIA-ON-CAMPUS

Requisites

Prerequisite

Prohibition

Contacts

Chief Examiner(s)

Dr Jason Ng Wei Jian

Learning outcomes

On successful completion of this unit, you should be able to:

derive and recognise statistical properties of stationary and non-stationary time series processes

perform informal and formal tests for unit roots in univariate time series

develop appropriate models for multivariate stationary and non-stationary time series

conduct statistical inference on multivariate stationary and non-stationary time series.

Teaching approach

Active learning

Peer assisted learning

Assessment

1 - Within semester assessment

2 - Examination

Workload requirements

Workload

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.