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 the time-series models
- Developing skills regarding to time-series analysis
Core Area Distribution
Teaching Methods
Assessment & Evaluation
ECTS / Workload
| Activity | Quantity | Duration (h) | Total Workload |
|---|---|---|---|
| Course Duration (Including Exam Week) | 16 | 3 | 48 |
| Out of Class Study Period | 16 | 4 | 64 |
| Midterm | 1 | 2 | 2 |
| Quiz | 1 | 1 | 1 |
| Assignment | 0 | 0 | 0 |
| Practice | 1 | 5 | 5 |
| Final | 1 | 5 | 5 |
Course Schedule
| Week | Subject | Preparation |
|---|---|---|
| 1 | Introduction to the course and to the software | W. (Ch. 10) |
| 2 | Basic regression analysis with time-series data | W. (Ch.10) |
| 3 | Basic regression analysis with time-series data | W. (Ch.10) |
| 4 | Further issues in using OLS with time-series data | W. (Ch.11) |
| 5 | Quiz 1 and EViews Application | |
| 6 | Further issues in using OLS with time-series data | W. (Ch.11) |
| 7 | EViews Application | |
| 8 | Midterm | |
| 9 | Serial Correlation in Time Series Regression | W. (Ch.12) |
| 10 | Serial Correlation in Time Series Regression | W. (Ch.12) |
| 11 | Pooling cross section across time | W. (Ch.13) |
| 12 | Quiz 2 and EViews Application | |
| 13 | Advanced time series topics | W. (Ch.18) |
| 14 | Advanced time series topics | W. (Ch.18) |
| 15 | EViews Application | |
| 16 | Final |