Graduate Education Institute · International Finance and Participation Banking · Master
Course Objective
The aim of this course is to introduce students to application of advanced econometric techniques for time series analysis, such as cointegration (VAR/VECM) and Wavelets. Statistical softwares Microfit and R will be used throughout this course. By the end of this course, the students are expected to produce quality project papers using real financial data.
Course Content
This is a practical course on econometric methods designed to enable students to carry out their own research projects. The course covers the following time series techniques: a) VAR/VECM analysis including unit root test, VAR lag order selection, cointegration tests, long run structural modeling, vector error correction model, vector decomposition, impulse response function, and persistence profile; and b) Wavelets analysis including wavelet variances, correlations, cross-correlations, and wavelet coherence.
Course Learning Outcomes
- Running and interpreting time series models
- Using multiple time series models
- Developing basic research skills for applied time series analysis
- Use of R packages in time series analysis


