Simon Fraser University
Engaging the World

Course Outlines

Fall 2026 - ECON 818 G100

Applied Economic Analysis Using Time Series Methods (4)

Class Number: 2035

Delivery Method: In Person

Overview

  • Course Times + Location:

    Sep 9 – Dec 6, 2026: Tue, 1:30–4:20 p.m.
    Burnaby

Description

CALENDAR DESCRIPTION:

Econometric and statistical methods and models to analyze and forecast financial and macroeconomic data. This is an applied time series course focused on: (i) practical implementation of these methods and models for data analysis using appropriate computer programs; (ii) understanding their implications for economic and financial interpretation.

COURSE DETAILS:

Description

Economic forecasting is a key ingredient of decision making both in the public and in the private sector. We introduce econometric and statistical methods and models to analyze and forecast financial and macroeconomic data - including asset returns and volatility. We are especially interested in predicting future expected economic conditions and specific indicators of interest - such as income growth, inflation, interest rates… We focus on:

  • Forecasting with the linear regression model;
  • Forecasting with time series models;
  • Introducing models for large datasets.

This is an applied time series forecasting course that focuses on

  • understanding the implications of the abovementioned methods and models for economic and financial interpretation.
  • practical implementation and use of these methods and models for data analysis using appropriate computer programs in R;
  • without providing all their theoretical foundations and justifications.

Grading

NOTES:

Your final grade will be based on in-class participation and homework assignments (30%), 2 in-class exams (40%), and one empirical project (30%)

Materials

RECOMMENDED READING:

  1. Applied Economic Forecasting using Time Series Methods by Eric Ghysels, Massimiliano Marcellino, Oxford University Press
  2. Tidy finance with R by Christoph Scheuch, Stefan Voigt, Patrick Weiss. Boca Raton : CRC Press, an imprint of the Taylor & Francis Group, an informa business, 2023 https://www.tidy-finance.org/r/
  1. Introductory econometrics for finance, 4th Edition, by Chris Brooks

https://www.cambridge.org/ca/academic/subjects/economics/finance/introductory-econometrics-finance-4th-edition?format=PB&isbn=9781108436823#bookPeople


Registrar Notes:

ACADEMIC INTEGRITY: YOUR WORK, YOUR SUCCESS

At SFU, you are expected to act honestly and responsibly in all your academic work. Cheating, plagiarism, or any other form of academic dishonesty harms your own learning, undermines the efforts of your classmates who pursue their studies honestly, and goes against the core values of the university.

To learn more about the academic disciplinary process and relevant academic supports, visit: 


RELIGIOUS ACCOMMODATION

Students with a faith background who may need accommodations during the term are encouraged to assess their needs as soon as possible and review the Multifaith religious accommodations website. The page outlines ways they begin working toward an accommodation and ensure solutions can be reached in a timely fashion.