ETW3450 - Applied time series econometrics

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 Akram Hasanov

Learning outcomes

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

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

utilise 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

Problem-based learning

Assessment

1 - Within semester assessment

Scheduled and non-scheduled teaching activities

Tutorials

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. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.