Summer 2019 - ECON 484 D100

Selected Topics in Economics (3)

Time Series Analysis

Class Number: 3890

Delivery Method: In Person

Overview

  • Course Times + Location:

    Mo 9:30 AM – 12:20 PM
    WMC 3251, Burnaby

  • Exam Times + Location:

    Aug 15, 2019
    8:30 AM – 11:30 AM
    AQ 3159, Burnaby

  • Prerequisites:

    To be determined by the instructor subject to approval by the department chair.

Description

CALENDAR DESCRIPTION:

The subject matter will vary from term to term depending upon the interests of faculty and students.

COURSE DETAILS:

Selected Topics: Time Series Analysis


Prerequisites: ECON 302 and BUEC 333


This course shows how macroeconomics and social science time series can be analyzed and modeled.  The intention of the course is to show the applications of time series analysis, and to prepare students for writing analytical reports.  Students should expect heavy use of a statistical software program, R; but no prior experience with the software is required.

Topics:
1. Introduction to Time Series and the computer software R
2. Correlation and Stationarity
3. Deterministic Trends
4. Autoregressive moving average (ARMA) models
5. Nonstationarity
6. Model specification, estimation, diagnostics, and forecasting
7. Seasonality
8. Generalized autoregressive conditional heteroskedasticity (GARCH) models
9. Threshold models: SETAR, STAR, and Markov switching models
10. Cointegration (if time permits)

Grading

  • Midterm 15%
  • Final 25%
  • Assignments 10%
  • Reading reports 10%
  • Empirical report 1 10%
  • Empirical report 2 30%

Materials

REQUIRED READING:

Cryer, J. and Chan, K., Time Series Analysis with Applications in R, 2nd edition. (This is a free e-book that can be downloaded through the SFU library)

Nate Silver, The Signal and the Noise: Why So Many Predictions Fail - But Some Don’t. Penguin: 2015.

RECOMMENDED READING:

Box, J., Jenkins G., Reinsel, G. and Ljung,G., Time Series Analysis: Forecasting and Control, 5th edition. Wiley: 2015.

Genshiro, Kitagawa, Introduction to Time Series Modeling. Chapman and Hall, 2010.

Department Undergraduate Notes:

***NO TUTORIALS DURING THE FIRST WEEK OF CLASSES***

Students requiring accommodations as a result of a disability must contact the Centre for Accessible Learning (CAL) at 778-782-3112 or caladmin@sfu.ca.

Registrar Notes:

SFU’s Academic Integrity web site http://www.sfu.ca/students/academicintegrity.html is filled with information on what is meant by academic dishonesty, where you can find resources to help with your studies and the consequences of cheating.  Check out the site for more information and videos that help explain the issues in plain English.

Each student is responsible for his or her conduct as it affects the University community.  Academic dishonesty, in whatever form, is ultimately destructive of the values of the University. Furthermore, it is unfair and discouraging to the majority of students who pursue their studies honestly. Scholarly integrity is required of all members of the University. http://www.sfu.ca/policies/gazette/student/s10-01.html

ACADEMIC INTEGRITY: YOUR WORK, YOUR SUCCESS