Institute of Social Sciences · Islamic Economics and Finance (English) · 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
- Use multivariate time-series models such as VAR/VECM and ARDL to analyse time series data.
- Develop fundamental research skills (such as data collection, data processing, and model estimation and interpretation) in applied time series analysis.
- Use existing R packages for analysing time series data.
- Run and interpret time-series models.