Course:FRE530
| Time Series Analysis | |
|---|---|
 | |
| FRE 530 | |
| Section: | |
| Instructor: | Kurt Niquidet, PhD |
| Email: | kurt.niquidet@ubc.ca |
| Office: | TBA |
| Office Hours: | TBA |
| Class Schedule: | Feb 26-Apr 12
Lecture Mon&Wed 5:30-7:00pm Lab Wed 2:30-3:30 pm |
| Classroom: | MCML 154 |
| Important Course Pages | |
| Syllabus | |
| Lecture Notes | |
| Assignments | |
| Course Discussion | |
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 modeling 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. The emphasis of this course is on understanding the econometric time-series methods and its application using real data and issues.
LEARNING OUTCOMES
- 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 a number of 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 REPORT
Macroeconomic and Commodity Price Linkages.
BIG QUESTIONS & REAL-WORLD APPLICATIONS IN CLIMATE, FOOD AND THE ENVIRONMENT COVERED IN THE COURSE
- 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?
ASSESSMENT METHODS
Your grade shall be determined as follows
| Evaluation | Date | Percent of Grade |
|---|---|---|
| Assignments | View MFRE online schedule | 25% |
| Project (Team or Individual) & Presentation | View MFRE online schedule | 35% |
| Class Participation | Contributions to class discussions | 10% |
| Final Exam | View MFRE online schedule | 30% |