ECON 7223 - Advanced Time Series Econometrics IV
North Terrace Campus - Semester 2 - 2015
General Course Information
Course Code ECON 7223 Course Advanced Time Series Econometrics IV Coordinating Unit School of Economics Term Semester 2 Level Postgraduate Coursework Location/s North Terrace Campus Units 3 Contact Up to 4 hours per week Available for Study Abroad and Exchange Y Prerequisites ECON 7204 or equivalent Course Description The aim of this course is to study time series methods in econometrics. Students are expected to have knowledge in calculus, statistics, and Level IV econometrics. Topics include stationarity, asymptotic theory for time series, linear regression with time series data, autoregressive moving average (ARMA), forecasting, maximum likelihood estimation (MLE), spectral analysis, vector autoregression (VAR), generalized method of moment (GMM), basic stochastic calculus, unit roots, co-integration, fractional integration, auto regressive conditional heteroscedasticity (ARCH), generalized ARCH (GARCH), Kalman filter, and regime switching. The emphasis is on understanding the methods and applying them to real-world data.
Course Coordinator: Professor Firmin Doko TchatokaLocation: Room 4.47, Nexus 10 Tower
Telephone: 8313 1174
Consultation time: TBA
The full timetable of all activities for this course can be accessed from Course Planner.
Course Learning OutcomesThe outcomes of this course are:
1 To learn various advanced time series econometric methods, estimation methods and related econometric theories 2 To apply these methods to empirical data or develop new time series econometric theories 3 Students are expected to be able to write a code in Matlab, Gauss, C++, etc. 4 Students are expected to be able to use Stata, Eviews, and etc, to estimate time series econometric models using real world data 5 Students are expected to be able to interpret time series models' estimates and analyze the results
University Graduate Attributes
This course will provide students with an opportunity to develop the Graduate Attribute(s) specified below:
University Graduate Attribute Course Learning Outcome(s) Knowledge and understanding of the content and techniques of a chosen discipline at advanced levels that are internationally recognised. 1 An ability to apply effective, creative and innovative solutions, both independently and cooperatively, to current and future problems. 2 Skills of a high order in interpersonal understanding, teamwork and communication. 6 A proficiency in the appropriate use of contemporary technologies. 3,4 A commitment to continuous learning and the capacity to maintain intellectual curiosity throughout life. 2,5
Required ResourcesLecture notes will be posted on MyUni before each lecture.
J. Hamilton Time Series Analysis Princeton: Princeton University Press, 1994 P. J. Brockwell and R. A. Davis Time Series: Theory and Methods 2nd edition. New York: Springer-Verlag, 1991
1 Matlab Available on the computers in Honours student room, PhD student room, and the computer lab (10 Pulteney St. 2.20 Computer Suite 1 and Computer Suite 3) 2 Stata Available on the computers in Honours student room, PhD student room, and the computer lab (10 Pulteney St. 2.20 Computer Suite 3 only)
Robert H. Shumway and David S. Stoffer Time Series Analysis and Its Applications With R Examples 2nd edition. Springer, 2006 F. Hayashi Econometrics Princeton University Press, 2000 John Y. Campbell, Andrew W. Lo, and A. Craig Mackinlay The Econometrics of Financial Markets Princeton University Press, 1997
1 Check your student email often as course-related announcements are communicated via email 2 MyUni All the materials such as lecture notes, problem sets and their answer keys, Matlab manual, etc. will be posted on the MyUni course webpage, www.myuni.adelaide.edu.au
Learning & Teaching Activities
Learning & Teaching Modes
1 Lecture notes 2 Reading textbooks 3 Just in time teaching (JiTT) assessment 4 Problem solving and computer exercises
NB: It is important for students to be able to apply what they learn in class to real world data by using computer programs such as Matlab, Gauss, C++, Stata and Eviews.
The information below is provided as a guide to assist students in engaging appropriately with the course requirements.The information below is provided as a guide to assist students in engaging appropriately with the course requirements. All students in this course are expected to attend all lectures, workshops and labs throughout the semester.
Lecture notes 2 hours/week JiTT 3 hours/ week Additional readings and empirical project 2 hours/week Problem solving and computer exercises 2 hours/week
Learning Activities SummaryTentative Course Schedule (subject to changes)
1 Introduction to Time Series 2 Stochastic Processes 3 Univariate Times Series Models: Estimation and Inference 4 Predictions/Forecasting 5 Non-stationary Univariate Time Series Models 6 Multivariate Time Series: Vector Autoregressive Models 7 Cointegration and Error Correction 8 Models of Changing Volatility: ARCH, GARCH
Specific Course RequirementsN/A
Small Group Discovery ExperienceN/A
The University's policy on Assessment for Coursework Programs is based on the following four principles:
- Assessment must encourage and reinforce learning.
- Assessment must enable robust and fair judgements about student performance.
- Assessment practices must be fair and equitable to students and give them the opportunity to demonstrate what they have learned.
- Assessment must maintain academic standards.
Assessment SummaryThe final mark for this course will be determined by:
Assessment Task Task Type Due Weighting Learning Outcome Just in Time Teaching (JiTT): see Assessment Detail Readings
Refer to course website at on MyUni, www.myuni.adelaide.edu.au
10% 1-5 Homework and Computer Exercises: see Assessment Detail Problem solving and computing Refer to course website at on MyUni, www.myuni.adelaide.edu.au 15% 1-5 Midterm Exam: see Assessment Detail Formative, problem solving and computer exercises Refer to course website at on MyUni, www.myuni.adelaide.edu.au 15% 1-5 Empirical project: see Assessment Detail Formative, reading and computing Refer to course website at on MyUni, www.myuni.adelaide.edu.au 20% 1-5 Final Exam Formative, problem solving and computer exercises Refer to course website at on MyUni, www.myuni.adelaide.edu.au 40% 1-5
Assessment Related RequirementsN/A
Assessment Detail1. Just in Time Teaching (JiTT)
In the unit I plan to use the Just in Time Teaching (JITT) technique. You will be required to read some material before the relevant workshop and lecture. I will post the questions on MyUni. There will be three questions that will be covered in the following week’s lecture, workshops and labs. You will submit your answers by Saturday 5pm. It is important to bear in mind that while you will not be assessed on the content of your answers I will nevertheless use the JiTT assessments to form a question in the midterm and final exams. I will also form view of the effort you are putting into being prepared for the following week’s class—I read your submissions before the Monday class. The mark here is an incentive to encourage you to participate rather than an assessment of the content.
2. Homework and Computer Exercises
Problem sets and computer exercises will be given to you fortnightly. Details (including submission dates) will be provided on MyUni and discussed with students in lectures. Late submission will be accepted only if accompanied by appropriate documentation, for example, a medical certificate. Each student must write and turn in her/his own homework to me right before lecture begins in class on the due date. Students must write their name and student ID number on the cover sheet.
3. Midterm Exam
1 h 30 min test containing short answer questions. The date will be posted on MyUni and discussed with students in lectures. There will be no supplementary exam for the midterm exam. If you miss this exam and you provide a medical certificate or compassionate reasons, your final exam will account for 55% (instead of 40%) of your total mark. Please note that, following University policy, dictionaries are not allowed in School of Economics exams. Students may NOT take any type of CALCULATOR to the exam.
4. Empirical Project
Students must complete an applied time series econometrics study of an economic or financial relationship and answer a research question that they pose. The maximum length of the final version of the project is 15 pages + references + appendix. Students must replicate one of the following papers:
1) Harvey, A. C. and Todd, P. H. J., 1983, Forecasting Economic Time Series With Structural and Box-Jenkins Models: A Case Study. J. Bus. Econ. Stat., 1, 299-307.
2) Anthony D. Hall, Heather M. Anderson and Clive W. J. Granger, 1992, A Cointegration Analysis of Treasury Bill Yields.
The Review of Economics and Statistics, Vol. 74, No. 1, pp. 116-126.
3) Mardi Dungey, and Adrian Pagan, 2009, Extending a SVAR Model of the Australian Economy. The Economic Record,
The Economic Society of Australia, vol. 85(268), pages 1-20, 03.
The project is divided in three parts: A, B, and C.
Project Part A: Must contain the abstract and data description
1. Clearly state the question that you will be investigating. Do not repeat the abstract from the source paper.
2. Provide the source of the data or the name of the database that you are planning to use.
3. Speculate what type of results you would expect to get in answer to your stated question.
Expected length: 1 page
4. Type of data (e.g. panel, time series, cross sectional, pooled cross sectional, etc.).
6. Dimensions of your data.
7. List variables that you will be using for your project.
8. Provide 5-point summary for all variables used in your analysis.
9. Graph your data and interpret the results (stationarity, seasonality, trends, structural breaks…).
Expected length: 3-4 pages
Project Part B: Residual Analysis
In this part of the assessment you have to specify and test the data selected for your project with your chosen models. Justify the models’ selection through residual analysis and additional tests (you will have to determine which tests will be applicable for your chosen data type and chosen models).
Expected length: 2-3 pages
Project Part C: Final Empirical Project
The term paper is your opportunity to construct a model and analyze it using econometric methods.
A good paper will have the following format structure:
1. Introduction (modified and improved Project Part A)
a. Why do we care?
b. What else is known about this problem?
c. What are the limitations of previous studies?
a. Data collection
b. Sources and Descriptive statistics (modified and improved Project Part A)
3. The model
a. Estimation and Testing
b. Residual analysis (modified and improved Project Part B)
a. What are the main findings?
b. Do you find the empirical results convincing?
c. Interpret your findings and stress their significance
a. Summary of main contributions
b. How do you think the study could be improved?
6. Reference List
Each term paper will have an assignment submission cover page. Projects should be up to 15 pages of text (with all references cited in the appropriate text), bibliography, tables and figures, and any appendix material. You must include all relevant computer printouts including one that clearly lists your data in a compact. Your grade will depend on your mastery of the relevant econometric theory and the organization of your paper.
5. Final Exam
3 hours multi-part problem solving questions: will cover all the lectures, JiTT, Homework and Computer Exercises, and labs. Written sample answers will not be provided. Help with questions that you have made a genuine attempt to answer may be provided by your lecturer/tutor either on an individual basis or in a group revision session.
SubmissionRefer to ASSESSMENT DETAIL. After being marked, generally, the assessment will be returned to students in class about a week after submission.
Grades for your performance in this course will be awarded in accordance with the following scheme:
M10 (Coursework Mark Scheme) Grade Mark Description FNS Fail No Submission F 1-49 Fail P 50-64 Pass C 65-74 Credit D 75-84 Distinction HD 85-100 High Distinction CN Continuing NFE No Formal Examination RP Result Pending
Further details of the grades/results can be obtained from Examinations.
Grade Descriptors are available which provide a general guide to the standard of work that is expected at each grade level. More information at Assessment for Coursework Programs.
Final results for this course will be made available through Access Adelaide.Additional Assessment
If a student receives 45-49 for their final mark for the course they will automatically be granted an additional assessment. This will most likely be in the form of a new exam (Additional Assessment) and will have the same weight as the original exam unless an alternative requirement (for example a hurdle requirement) is stated in this semester’s Course Outline. If, after replacing the original exam mark with the new exam mark, it is calculated that the student has passed the course, they will receive 50 Pass as their final result for the course (no higher) but if the calculation totals less than 50, their grade will be Fail and the higher of the original mark or the mark following the Additional Assessment will be recorded as the final result.
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