Simon Fraser University
Engaging the World

Course Outlines

Summer 2020 - ECON 484 D100

Selected Topics in Economics (3)

Time Series Analysis

Class Number: 1824

Delivery Method: In Person

Overview

  • Course Times + Location:

    May 11 – Aug 10, 2020: Tue, 2:30–5:20 p.m.
    Burnaby

  • Exam Times + Location:

    Aug 21, 2020
    Fri, 12:00–3:00 p.m.
    Location: TBA

  • 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:

Prerequisites: ECON 302 and ECON (or BUEC) 333.

Description: 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

Grading

  • Final exam 25%
  • Assignments 10%
  • Reading reports 25%
  • Two empirical reports (10% + 30%) 40%
  • Note: These grading weights are subject to changes and to be announced during the first week of classes.

Materials

MATERIALS + SUPPLIES:

Software: Other than internet access to SFU Canvas and Mail, there are other requirements.  A personal computer (Mac, PC, or Microsoft Surface) that runs macOS or Windows is required to run Rstudio and R.  Apple iPads/iPhones and Android tablets do not meet the requirements.  Students also need to become familiar with the use of a scanner.  Ideally a physical scanner is used to scan documents.  However, there are many iOS and Android PDF scanner apps for smartphones, for instance, Adobe Scan and Microsoft Office Lens.    Adobe Scan is recommended as it allows the user to adjust the corners of a page, to autoscan multiple pages as a file, and to easily convert the output as a single pdf file.  I will help students to use these two apps.

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: 2012. Mycampus Bookstore or Kindle.
(Note: Students must have access to the second book after the first week of classes.)

RECOMMENDED READING:

Box, J., Jenkins G., Reinsel, G. and Ljung, G. Time Series Analysis: Forecasting and Control, 5th edition. Wiley: 2015. eBook.
ISBN: 978-1119070320

Scott Lynch, Using Statistics in Social Research - A Concise Approach. (This is a free e-book that can be downloaded through the SFU library)

Department Undergraduate Notes:

Please note that, as per Policy T20.01, the course requirements (and grading scheme) outlined here are subject to change up until the end of 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.

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

Registrar Notes:

ACADEMIC INTEGRITY: YOUR WORK, YOUR SUCCESS

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

TEACHING AT SFU IN SUMMER 2020

Please note that all teaching at SFU in summer term 2020 will be conducted through remote methods. Enrollment in this course acknowledges that remote study may entail different modes of learning, interaction with your instructor, and ways of getting feedback on your work than may be the case for in-person classes.

Students with hidden or visible disabilities who believe they may need class or exam accommodations, including in the current context of remote learning, are encouraged to register with the SFU Centre for Accessible Learning (caladmin@sfu.ca or 778-782-3112) as soon as possible to ensure that they are eligible and that approved accommodations and services are implemented in a timely fashion.