Course:FRE530/Syllabus
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.
COURSE INFORMATION
Lectures: Feb 24 - April 16, Monday and Wednesday 5:30-7 pm
Labs: Wednesday 2:30-3:30 pm
Check the MFRE Schedule regularly for updates.
Lectures will be taught in-person because it’s the most effective way to engage in the topics that form a critical part of your learning. Lectures will not be recorded on a regular basis, but if you have to miss a class, lecture slides and supporting material will be available on Canvas, and you are welcome to clarify content during Office Hours.
INSTRUCTOR
Instructor: Kurt Niquidet, Ph.D.
Phone: 778 222-7375
Office Location: TBD
Email: kurt.niquidet@ubc.ca, niquidet@cofi.org
Office hours: By appointment
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 for 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 uses advanced time-series econometrics methods.
LEARNING MATERIALS
Lecture materials and discussions will be drawn from a variety of textbooks and journal papers. You will be provided with electronic Chapter files that will be posted in Canvas as a reference and reading material.
Time Series Analysis is a rich and complex area and the following references may be drawn upon in this course:
- "Time Series Analysis of Food and Energy Prices", by James Vercammen
- “Forecasting: Principles and Practice”, 2nd Edition by Rob J Hyndman and George Athanasopoulos.
ASSESSMENTS
| 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% |
COURSE SCHEDULE
Note: Topics may change to some extent but these are the major elements
| WEEK | TOPIC |
|---|---|
| Stationarity | |
| Week 1 |
|
| Co-integration | |
| Week 2 |
|
| Vector Autoregression (VAR) and Impulse Response | |
| Week 3 |
|
| Error Correction Model (ECM) | |
| Week 4 |
|
| Introductory Forecasting | |
| Week 5 |
|
| Applied Topics in Time Series Analysis | |
| Week 6 |
|
| FINAL EXAM TBA | |
LAB, ASSIGNMENT, AND PROJECT TIMING
| Week | Labs | Assignment 1 | Assignment 2 | Project |
|---|---|---|---|---|
| 1 | LAB 1
|
Assign 1 Released Beginning of Week 1 | Project Released | |
| 2 | LAB 2
Co-Integration |
Assign 2 Released Beginning of Week 2 | ||
| 3 | LAB 3
Vector Autoregression (VAR) Model |
Assign 1 Due Beginning of Week 3 | ||
| 4 | LAB 4
VAR Continued Forecasting |
Project Stage 1 Due | ||
| 5 | LAB 5
Q/A for Report |
Assign 2 Due Beginning of Week 5 | ||
| 6 | LAB 6
Q/A for Report |
Project Stage 2 Due | ||
| 7 | Project Presentation |
MFRE PROGRAM - COURSE PROTOCOL POLICIES
Respectfulness in the Classroom
Students are expected to be respectful of their colleagues at all times, including faculty, staff and peers. This means being attentive and conscious of words and actions and their impact on others, listening to people with an open mind, treating all MFRE community members equally and understanding diversity. Students who act disrespectfully toward others will be asked to leave the class and be marked as absent for the day. They may also be removed from a team, lose credit for in-class assessments and activities, or be asked to complete a group assignment individually.
Respect for Equity, Diversity, and Inclusion
The MFRE Program strives to promote an intellectual community that is enhanced by diversity along various dimensions including status as a First Nation, Métis, Inuit, or Indigenous person, race, ethnicity, gender identity, sexual orientation, religion, political beliefs, social class, and/or disability. It is critical that students from diverse backgrounds and perspectives be valued in and well-served by their courses. Furthermore, the diversity that students bring to the classroom should be viewed as a resource, benefit, and source of strength for your learning experience. It is expected that all students and members of our community conduct themselves with empathy and respect for others.
Recordings and In-Class Attendance
There is no required distribution of recordings of class. Recording will be provided based upon on the decision of the course instructor. Classes are designed as and are intended to be in-person. Your attendance is expected. If you are unable to attend, the policy regarding missed classes described in the MFRE code of conduct and syllabus applies. It is your responsibility to ensure that you have the materials you need for missed classes.
Writing Exams
All exams will be in-person and will follow MFRE exam protocol (See Student Portal). Exams may be online, e.g., in Canvas, but students must be physically present and invigilated. If a student is unable to write an exam, they must have a verifiable doctor’s note and must contact the Course Instructor, Course Assistant, and MFRE Program Coordinator before the scheduled exam date/time. Documentation must be provided to explain your absence. If the documentation is considered legitimate, the Course Instructor will let you know how to proceed.
Plagiarism Penalties Academic dishonesty and plagiarism are taken very seriously in the MFRE program. All incidences of plagiarism will be escalated to the MFRE Academic Director. Incidences of academic misconduct may result in a reduction of grade, a mark of zero on the assignment/exams of concern, failing the course or program, escalation/referral to the Dean’s office and/or President’s Advisory Committee on Student Discipline, and/or expulsion from UBC. Note: If a MFRE student is required to extend his/her program due to failed course or unsatisfactory progress, they will need to pay the full MFRE tuition fees for that term(s) regardless of the number of courses that need to be retaken. It is each student’s responsibility to review and understand what constitutes academic dishonesty and plagiarism and how to avoid them. Review MFRE Code of Conduct, UBC academic dishonesty policies/penalties and course-specific policies. Turn it In Access for MFRE Courses: Internet-based plagiarism detection service
Turn it in has been set up for MFRE courses. Submit all assignments/papers to this service and review similarity index reports. Turn it in Login (website). For instructions: See the Student Guide to MFRE Student Guide To Setting Up And Using Turn It In on the Student Portal (website.). Use provided Class ID and Enrollment Key to access MFRE course folder, submit assignments/papers, and review similarity index reports.
Working with Others on an Assignment
You are encouraged to work with other students, but you must turn in your own individual assignment. If you have an answer that is too close to another student’s answer, this will be considered academic dishonest and this will be handled according to the MFRE and UBC policies.
Missing Classes/Labs
Students are expected to attend all classes, labs, or workshops. If you cannot make it to a class, lab, or workshop due to a medical or personal emergency, please email your instructor, your course assistant, and Olivier Ntwali, MFRE Program Coordinator ahead of time to let them know. Students who miss classes regularly without a reasonable excuse may be subject to MFRE-imposed penalties at the discretion of the Academic Director.
Centre for Accessibility
The Centre for Accessibility (CfA) facilitates disability-related accommodations and programming initiatives designed to remove barriers for students with disabilities and ongoing medical conditions. If you are registered with the CfA and are eligible for exam accommodations, it is your responsibility to let Olivier Ntwali, Academic Program Coordinator, and each of your Course Instructors know. You should book your exam writing with the CFA using its exam reservation system: for midterm exams or quizzes, at least 7 days in advance; and final exams, 7 days before the start of the formal exam period.
Copyright
All materials of this course (course handouts, lecture slides, assessments, course readings, etc.) are the intellectual property of the instructor or licensed to be used in this course by the copyright owner. Redistribution of these materials by any means without permission of the copyright holder(s) constitutes a breach of copyright and may lead to academic discipline and could be subject to legal action. Any lecture recordings are for the sole use of the instructor and students enrolled in the class. In no case may the lecture recording or part of the recording be used by students for any other purpose, either personal or commercial. Further, audio or video recording of classes are not permitted without the prior consent of the instructor.
MFRE PROGRAM - ACADEMIC HONESTY POLICIES
Plagiarism and Academic Dishonesty
Academic dishonesty and plagiarism are taken very seriously in the MFRE program. All incidences of plagiarism will be escalated to the MFRE Academic Director with penalties ranging from a mark of zero on the assignment, exam or course to being required to withdraw from the program. Note: If a student needs to extend his/her program due to a failed course or unsatisfactory progress, they will have to pay the full MFRE tuition fees for that term/s.
Academic misconduct that is subject to disciplinary measures includes, but is not limited, to the following:
- Plagiarism, which is intellectual theft, occurs where an individual submits or presents the oral or written work of another person as his or her own. In many UBC courses, you will be required to submit material in electronic form. The electronic material will be submitted to a service which UBC subscribes, called TurnItIn. This service checks textual material for originality. It is increasingly used in North American universities. For more information, review TurnItIn website online.
- Using Generative Artificial Intelligence (AI) tools like ChatGPT, Bard, or other Generative AI models to generate content or conduct analysis for evaluations, without proper citation and or if asked not to use AI, is considered plagiarism and academic misconduct. If students use AI in their submissions, they must cite the AI generator using citations consistent with the UBC Academic Honesty Standards.
- Cheating, which may include, but is not limited to falsification of any material subject to academic evaluation, unauthorized collaborative work; or use of unauthorized means to complete an examination.
- Working with Others on an Assignment: You are encouraged to work with other students, but you must turn in your own individual assignment. If you have an answer that is too close to another student’s answer, this will be considered academic dishonesty and this will be handled according to the MFRE and UBC policies.
- Resubmission of Material, submitting the same, or substantially the same, essay, presentation, or assignment more than once (whether the earlier submission was at this or another institution) unless prior approval has been obtained from the instructor(s) to whom the assignment is to be submitted.
- Use of academic ghostwriting services, including hiring of writing or research services and submitting papers or assignments as his or her own.
Student Responsibility: Students are responsible for informing themselves of the guidelines of acceptable and non‐acceptable conduct for examinations and graded assignments as presented via MFRE Code of Conduct; MFRE Turn it in, Course Syllabus, MFRE Instructors; Canvas and UBC academic misconduct policies.
Penalties for Academic Dishonesty: Penalties for academic dishonesty are applied at the discretion of the MFRE program. Incidences of academic misconduct may result in a mark of zero on the assignment, examination, or course, required withdrawal from the program, and/or the matter being is referred to UBC Graduate Studies.
LAND ACKNOWLEDGMENT
UBC’s Point Grey Campus is located on the traditional, ancestral, and unceded territory of the xwməθkwəy̓əm (Musqueam) people. The land it is situated on has always been a place of learning for the Musqueam people, who for millennia have passed on their culture, history, and traditions from one generation to the next on this site.