ECON9004 Advanced Econometrics-Time Series Analysis

ECON9004 Advanced Econometrics-Time Series Analysis

Number of Credits

3

Offering Department

Antai College of Economics and Management

Course Instructor

Nan Li

Course Level

Senior Undergraduate and Graduate

Language of Instruction

English

First Day of Class

Friday, Sept. 16, 2022

Last Day of Class

Friday, Dec. 30, 2022

Course Component

Lecture

Mode of Teaching

Synchronous (Online + On-campus)

Course recordings available for students.

Meeting Time

Week 1-16: Fridays, 14:00 p.m. - 16:45 p.m.

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Time Zone

Beijing TimeUTC+8

Restrictions

Ph.D in finance, economics, and management/Master or 4year undergraduate student in finance, economics, and management with strong background in math, finance, and economics

Prerequisite: finance, macroeconomics, microeconomics, econometrics

Course Description

This course focuses on the advanced methods and tools to analyze time series in finance and macroeconomics. The first part of the course introduces the foundation and building blocks for time series analysis, such as stationarity, nonstationarity, cointegration, impulse responses and shock identification etc.

The students are expected to understand ARMA, VAR, and other models as well as methods such as Spectral Analysis, GMM and Kalman Filter that are important tools in the time series analysis of macroeconomics and financial economics. More importantly, students are expected to be able to apply the methods and tools learned to set up appropriate empirical models to analyze the problem in macroeconomics and financial economics, and to estimate and test these models. In the second part of the course, various macro-asset pricing models are introduced and the students are expected to understand the empirical tests of implication of these asset pricing model, both time-series and cross-section tests.

Assessment Format

1. Homework: 20%

2. Presentation and Referee Report: 30%

3. Class Participation: 10%

4. Final Exam: 40%

Syllabus

English