{"ModuleCode":"EC5314","ModuleTitle":"Time Series Analysis","Department":"Economics","ModuleDescription":"The main objective of this course is to provide a rigorous training in univariate and multivariate time series analysis. Univariate techniques are mainly used for forecasting and multivariate techniques are used for both forecasting and policy analyses. Starting with simple ARMA and GARCH models the course moves on to more advanced topics involving non-stationary multivariate processes. Students will learn to use Monte Carlo techniques as well as a lot of practical applications.","ModuleCredit":"4","Workload":"2-1-0-2-5","Prerequisite":"EC5154/EC5103","Preclusion":"EC5214","ExamDuration":"P2H","ExamVenue":"AS6-02-14","AcadYear":"2014/2015","History":[{"Semester":2,"ExamDate":"2015-04-25T13:00+0800","Timetable":[{"ClassNo":"1","LessonType":"Sectional Teaching","WeekText":"Every Week","DayText":"Monday","StartTime":"0900","EndTime":"1200","Venue":"AS4-0118"}],"IVLE":[{"Announcements":null,"Forums":[],"Workbins":[],"Webcasts":[],"Gradebooks":[],"Polls":[],"Multimedia":[],"LessonPlan":[],"ID":"4ad7641a-587e-4dd5-a78a-cfeffa4dbc95","CourseLevel":"1","CourseCode":"EC5314","CourseName":"TIME SERIES ANALYSIS","CourseDepartment":"","CourseSemester":"Semester 2","CourseAcadYear":"2014/2015","CourseOpenDate":"/Date(1415116800000+0800)/","CourseOpenDate_js":"2014-11-05T00:00:00","CourseCloseDate":"/Date(1431791940000+0800)/","CourseCloseDate_js":"2015-05-16T23:59:00","CourseMC":"0","isActive":"N","Permission":"S","Creator":{"UserID":null,"Name":"Abeysinghe,Tilak","Email":null,"Title":null,"UserGuid":"51b38cc1-9c66-402e-8cb0-594eaf78d509","AccountType":null},"hasGradebookItems":false,"hasTimetableItems":true,"hasGroupsItems":false,"hasClassGroupsForSignUp":false,"hasGuestRosterItems":true,"hasClassRosterItems":true,"hasWeblinkItems":false,"hasLecturerItems":true,"hasDescriptionItems":true,"hasReadingItems":true,"hasAnnouncementItems":false,"hasProjectGroupItems":false,"hasProjectGroupsForSignUp":false,"hasConsultationItems":false,"hasConsultationSlotsForSignUp":false,"hasLessonPlanItems":false,"Badge":0,"BadgeAnnouncement":0,"WebLinks":[],"Lecturers":[{"ID":"5e904809-2bab-4082-935f-c3934e8752d8","User":{"UserID":null,"Name":"Abeysinghe,Tilak","Email":null,"Title":null,"UserGuid":"51b38cc1-9c66-402e-8cb0-594eaf78d509","AccountType":null},"Role":"Lecturer ","Order":1,"ConsultHrs":null}],"Descriptions":[{"ID":"1e5f053b-8835-4692-be49-41f07234cfff","Title":"Learning Outcomes","Description":"The main objective of this course is to provide a rigorous training in univariate and multivariate time series analysis. Univariate techniques are mainly used for forecasting and multivariate techniques are used for both forecasting and policy analyses. Starting with simple ARMA models the course moves on to more advanced topics involving non-stationary multivariate processes. Students will learn to use Monte Carlo techniques as well as a lot of practical applications.
\n","Order":1},{"ID":"2e5f053b-8835-4692-be49-41f07234cfff","Title":"Prerequisites","Description":"Good background in econometrics is needed.","Order":2},{"ID":"6e5f053b-8835-4692-be49-41f07234cfff","Title":"Syllabus","Description":"I. Univariate Time Series
\n - Stationary time series
\n AR, MA, ARMA models
\n GARCH models
\n
\n - Non-stationary time series
\n ARIMA models
\n Deterministic trend Vs Stochastic trend
\n Unit root tests
\n Seasonal unit roots
\n
\nII. Single Equation Regression Models
\n - Transfer Functions
\n Intervention Models
\n - Cointegration and Error Correction Models
\n
\nIII. Vector Time Series
\n - VARMA, VAR, VARX models
\n - Vector ECM – Johansen approach
\n - Sims-Stock-Watson approach
\n - Grangers Causality
\n - Impulse response analysis
\n - Variance decomposition analysis
\n - Structural VAR models
\n - Multivariate GARCH models
\n
\nIV. Nonlinear Models and Spectral Analysis (optional)
\n","Order":6},{"ID":"8e5f053b-8835-4692-be49-41f07234cfff","Title":"Assessment","Description":"Final exam (2 hours) 40%
\nContinous assessment 60% (Project 40%, assignments and class participation 20%)
\n
\n","Order":8},{"ID":"f0473114-f50c-44ed-a61a-6b0ba67ceca5","Title":"Preclusions","Description":"EC5214","Order":9},{"ID":"4a43bad4-a26c-4312-bc74-cd7af4770959","Title":"Workload","Description":"2-1-0-2-5
Workload Components : A-B-C-D-E \r\n
A: no. of lecture hours per week \r\n
B: no. of tutorial hours per week \r\n
C: no. of lab hours per week \r\n
D: no. of hours for projects, assignments, fieldwork etc per week \r\n
E: no. of hours for preparatory work by a student per week","Order":10}],"ReadingFormatted":[{"ID":"91f2c6db-8624-4acf-b149-926151f17a5d","Title":"Applied Econometric Time Series","Author":"Walter Enders","Edition":"3ed","PubYear":"2010","ISBN":"9780470505397","Publisher":"Wiley","BookType":"Compulsory","AdditionalInfo":"","CompWebsite":"","Order":1},{"ID":"422ea969-74a0-473b-b936-0db6dc99c37e","Title":"Time Series Analysis","Author":"James D Hamilton","Edition":"1e","PubYear":"1994","ISBN":"0691042896","Publisher":"Princeton Univ Press","BookType":"Supplementary","AdditionalInfo":"","CompWebsite":"","Order":2},{"ID":"69f85354-8d9a-47c1-8075-2368eaf861a4","Title":"Applied Time Series Econometrics","Author":"Lutkepohl, Helmut","Edition":"1e","PubYear":"2004","ISBN":"0521547873","Publisher":"Cambridge Univ Press","BookType":"Supplementary","AdditionalInfo":"","CompWebsite":"","Order":3},{"ID":"efb20f2c-cc6a-4f44-b51d-0e02e8a93998","Title":"New Introduction to Multiple Time Series Analysis","Author":"Lütkepohl, Helmut","Edition":"1e","PubYear":"2005","ISBN":"","Publisher":"Springer-Verlag","BookType":"Supplementary","AdditionalInfo":"","CompWebsite":"","Order":4},{"ID":"bacf66d7-186c-4e3a-9972-a53dcfc1bb63","Title":"Time series analysis: univariate and multivariate methods","Author":"William Wei Wei","Edition":"2e","PubYear":"2006","ISBN":"","Publisher":"Pearson Addison Wesley","BookType":"Supplementary","AdditionalInfo":"","CompWebsite":"","Order":5},{"ID":"c1d68739-bd4b-4a55-a023-6702653fa7e1","Title":"Time Series Analysis: Forecasting and Control","Author":"Box, G.E.P; Kenkins, G.M; Reinsel, G.C.","Edition":"3e","PubYear":"1994","ISBN":"0131122770","Publisher":"Prentice-Hall","BookType":"Supplementary","AdditionalInfo":"","CompWebsite":"","Order":6}],"ReadingUnformatted":[]}],"Lecturers":["Abeysinghe,Tilak"],"LecturePeriods":["Monday Morning"]}]}