ECON9004 Advanced Econometrics-Time Series Analysis |
|
Number of Credits |
3 |
Offering Department |
Antai College of Economics and Management |
Course Instructor |
|
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. |
Time Zone |
Beijing Time(UTC+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 |