DMA 810S: Time Series Analysis 3 CREDITS

Time series data is mainly used to analyse macroeconomic issues to help identify relationships and to predict/forecast outcomes. As an elective course, the intent is to offer practical sessions on how to handle such data using modern estimation techniques and addressing issues related to fitness of different time series models.

Course Objectives:

Students should be able to:

  • Estimate and test hypotheses using time series data.
  • Choose appropriate test(s) to determine the estimation technique suitable for addressing a given research problem/objectives.
  • Conduct time series post estimation analyses.

Course Content

The issues to be covered in this course are: understanding time series properties of variables, univariate and stationarity of time series data, and multivariate time series analysis.

Main Text

  • Enders, W. (2014) Applied Econometric Time Series. 4th Edition Wiley

Suggested Reading List

  • Agung, G. N. (2008). Time Series Data Analysis Using EViews, Wiley.
  • Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press.
  • Lütkepohl, H. & Krätzig, M. (Eds.). (2004). Applied time series econometrics. Cambridge University Press.