Course:FRE530
| Econometrics with Time Series Data | |
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| FRE 530 | |
| Section: | |
| Instructor: | Kurt Niquidet, PhD |
| Email: | kurt.niquidet@ubc.ca |
| Office: | TBA |
| Office Hours: | By Appointment |
| Class Schedule: | Feb 26-Apr 12
Lecture Mon & Wed 5:30-7:00pm Lab Tues 10:00- 11:30 |
| Classroom: | MCML 154 |
| Important Course Pages | |
| Syllabus | |
| Lecture Notes | |
| Assignments | |
| Course Discussion | |
FRE 530: Econometrics with Time Series Data
COURSE DESCRIPTION
This course will introduce students to the basic techniques of time series econometrics and will investigate both univariate and vector processes in time series models. The goal of this course is to provide students with sufficient understanding and application of time series methods to be comfortable working within a modelling environment (i.e., forecasting roles, food and resource macroeconomic studies, etc.) that deals with time series analysis. A variety of models and analytical methods will be investigated in this course including stationary and non-stationary forecasting models, asymptotic theory for time series, linear regression with time series data, Box-Jenkin’s modelling strategy (ARIMA), Vector Autoregression (VAR), and error correction models. The emphasis of this course is on understanding the econometric time-series methods and their application using real-world data and issues.
LEARNING OUTCOMES
After this course, students will be able to
- Estimate and interpret univariate and multivariate time series econometric models (basic and more advanced models).
- Apply estimated time series models to areas of policy analysis and forecasting.
- Understand the role of predictive analytics in the context of several applications to business, finance and resource economics.
- Be proficient using R Studio to exploratory time series analysis; apply advanced time series econometric methods and estimation methods to empirical data.
- Be capable of critically evaluating published econometric research that use advanced time-series econometrics methods.
ASSESSMENT
| Lab Quizzes | Quiz at end of lab 1-5, points for best 3 | 10 |
| Assignment 1 | Due beginning of week 3 | 10 |
| Assignment 2 | Due beginning of week 5 | 10 |
| GVAR Project & Presentation | Project Deliverables week 4 and 6. Presentation week 7. | 35 |
| Participation | Lab and Lecture attendance/engagement | 5 |
| Final Exam | TBD | 30 |
| TOTAL | 100 | |
BIG QUESTIONS & REAL-WORLD APPLICATIONS IN CLIMATE, FOOD AND THE ENVIRONMENT
- How does one determine long-term relationships between various time series? For example, climate and food markets?
- What is the impact of various policies on food and resource markets?
- How does the macroeconomic environment influence commodity prices?