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EF

UNIVERSITI TUNKU ABDUL RAHMAN (UTAR)


FACULTY OF BUSINESS AND FINANCE (FBF)

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Unit Code &


Unit Title:
Course of
Study:
Year of
Study:
Year and
Semester:
Prerequisite:
Credit Hour

Unit Plan
UBEQ3013 TIME SERIES ANALYSIS
Bachelor of Economics (Hons) Financial Economics
Year three, Semester Three
201601
Nil
3 credit hours

8.

Lecturing &
Tutoring
hours
Lecturer:

9.

Tutor:

10.

Moderator

Associate Pro. Dr. Eng Yoke Kee,,PhD(Financial Economics) MSc (Financial


Economics) (UPM), BEcons (Hons) (Financial Economics)

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Mode of
Delivery:
Objective:

Lecture and Tutorial

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13.

Learning
Outcome:

14.

Reading List:

2 hours lecture per week for the duration of 7 weeks


1.5 hours tutorial per week for the duration of 7 weeks
Dr Yip Chee Yin (cyyip@utar.edu.my)
PhD of Applied Statistics, MSc. of Statistics, Universiti Sains Malaysia
Dr Yip Chee Yin

In this unit, the emphasis will be on modeling short-run and long-run


dynamics, forecasting and the estimation of vector autoregressive (VAR)
model that make up an economy-wide model.
Learning Outcomes of Unit:
By the end of this unit , the students will be able to:
1. use the stochastic properties of time series and estimation and test
principles for time series models and data
2. formulate and estimate dynamic models for stationary as well as nonstationary time series data
3. determine the types of time series models used for a variety of
econometric purposes, and to draw valid inference
4. estimate and interpret, in precise econometric terms, the difference
between long-run and short-run effects, as well as deterministic and
stochastic trends.
Main Text:
1. Enders, W. (2010). Applied Econometric Time Series. (3nd ed.). New
Jersey: John Wiley.
2. Brooks, C. (2008). Introductory Econometrics for Finance. (2th ed.).
Cambridge: Cambridge University Press.
Additional Text:
3. Yaffee, R. and McGee, M. (2000). An Introduction to Time Series
Analysis and Forecasting: with applications of SAS and SPSS. San
Diego: Academic Press.

Unit Plan of UBEQ3013 Time Series Analysis

4. Harris, R. and Sollis, R. (2003). Applied Time Series Modelling and


Forecasting. Chichester: Prentice Hall.
5. Patterson, K. (2000). An Introduction to Applied Econometrics: A Time
Series Approach. New York: Palgrave Macmillan.
6. Brockwell, P. J. and Davis, R. A. (2003). Introduction to Time Series and
Forecasting. (2nd ed.). New York: Springer.
7. Gujarati, D.N. and Porter, D.C. (2009). Basic econometrics. (5th ed.).
Boston, MA: McGraw-Hill/Irwin.
8. Chatfield, C. (2004). The Analysis of Time Series: An introduction. (6th
ed.). London: Chapman and Hall.
Recommended literature:
1. Kress, G. and Snyder, J. (1988). ABC of Box-Jenkins Models. The
Journal of Business Forecasting Methods & Systems, 7(2), 2-8.
2. Stock, J. H. and Watson, M.W. (1998). Variable Trends in Economic
Time Series. The Journal of Economic Perspectives, 2(3), 147 -174.
3. Stock, J.H. and Watson, M.W. (2001). Vector Autoregressions. Journal
of Economic Perspectives, 15(4), 101-115.
4. Libanio, G. (2005) Unit roots in macroeconomic time series: theory,
implications, and evidence Nova Economia, 15(3), 145-176. Retrievable
at: http://www.face.ufmg.br/novaeconomia/sumarios/v15n3/150306.pdf
5. Hendry, D.F., and Juselius, K (2000). Explaining Cointegration analysis:
Part I. The Energy Journal, 21(1), 1-42.
6. Hendry, D.F., and Juselius, K (2001). Explaining Cointegration analysis:
Part II. The Energy Journal, 22(1), 75-119.
7. Time Series Econometrics: Cointegration and Autoregressive Conditional
Heteroskedasticity. Advanced Information on the Bank of Sweden Prize
in Economic Sciences in Memory of Alfred Nobel, 8 October 2003.
Retrievable at:
http://nobelprize.org/nobel_prizes/economics/laureates/2003/ecoadv.pdf
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Method of
Assessment:

No. Method of Assessment


1.
Coursework
a) Test
b) Assignment
-written report
Total
2.
Final Examination
GRAND TOTAL

Total
40%
25%

(50 marks)

15%
40%

(50 marks)
100 marks
60%
100%

1. Coursework (40%)
a) Test (50 marks)
- The duration of the test will be 1.5 hour and will be scheduled at
WEEK 6. The test consists of four structural essay questions. Topics
cover: 1, 2, 3 and 4.
c) Assignment (50 marks)
- A term project is required in this unit. Further details about the
assignment will be provided later in class. Due date for the written
report will be on WEEK 8
Unit Plan of UBEQ3013 Time Series Analysis

2. Final Examination (60%)


The final examination for this subject will be 2.5 hours and will consist of
TWO sections:
Section A (40 marks) = One compulsory question.
Section B (60 marks) = Three questions in which students are
required to answer any two questions
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Remark:

ACADEMIC REGULATIONS
Plagiarism
Plagiarism is defined as the submission or presentation of work, in any
form, which is not one's own, without acknowledgment of the sources. If
a student obtains information or ideas from an outside source, that
source must be acknowledged. Another rule to follow is that any direct
quotation must be placed in quotation marks and the source immediately
cited. Plagiarism is also defined as copy of all or part of the work of
another student(s) of current or previous batch of this University or
another higher learning institution. The University's degree and other
academic awards are given in recognition of the candidate's personal
achievement. Plagiarism is therefore considered as an act of academic
fraudulence and as an offence against University discipline.
Intellectual Property
Copyright must be seriously protected. The University takes a strong
stand against any illegal photocopying of textbooks and any other
materials by students. Students are forewarned of the consequences
and the penalty that may be meted out if they are "caught in the act".
Mode of Referencing
Students are advised to incorporate proper academic modes of
referencing. The normally acceptable mode of academic referencing is
the American Psychological Association (APA) system; please refer to
the attached APA referencing system document for detailed usage.

Teaching Plan
Unit Plan of UBEQ3013 Time Series Analysis

Lecture, Tutorial & Assignment Plan


Week
Lecture Topic

Tutorial /
Assignment
Tutorial 1
(Topic 1):
structural
questions for
discussion

Topic 1 : Some Basic Concepts of Time


Series Analysis
Stochastic Process
Some Commonly Used Stationary Models
Integrated Variables and Cointegrated
Spurious Regression
Deterministic Trend and Stochastic Trend

Topic 2 : Stationary Time-Series Models


Stochastic Difference Equation Models
ARMA Models
Stationarity
Stationarity Restrictions for an ARMA(p,q)
Model
The Autocorrelation Function

The Partial Autocorrelation Function

Sample Autocorrelations of
Stationary Series
Topic 3 : Testing for Trends and Unit Roots
Unit Root Processes
Dickey-Fuller Tests
Extensions of the Dickey-Fuller Tests
Phillips-Perron Tests
Structural Change
Problems in Testing for Unit Roots

Tutorial 2
(Topic 1)
structural
questions for
discussion

Topic 4 : Time Series Forecasting: The BoxJenkins (BJ) Methodology


Identification
Estimation of the ARIMA Model
Diagnostic Checking
Forecasting
Further Aspects of BJ Methodology
The Forecast Function
A Model of WPI
Seasonality

Tutorial 5
(Topic 3):
structural
question for
discussion

Unit Plan of UBEQ3013 Time Series Analysis

Tutorial 3 (Topic
2):
structural
questions for
discussion
Tutorial 4 (Topic
2):
structural
questions for
discussion

Tutorial 6
(Topic 4):
structural
question for
discussion

Reference
Ender
(2010),
Chapter 1,
page 1-42,
Brooks
(2008),
Chapter 5,
page 206260)
Brooks
(2008),
Chapter 5,
page 206260)
Gujarati,
D.N. (2009)
(Part II :
Chapter 21
page 738
769)
Ender
(2010),
Chapter 4,
page 181
257)
Brooks
(2008),
Chapter 7,
page 318365)
Gujarati,
D.N. (2009)
(Part II :
Chapter 21
page 738
769)
Brooks
(2008),
Chapter 5,
page 206260)
Gujarati,
D.N. (2009)
(Part II :
Chapter 22
page 773
797)

Lecture, Tutorial & Assignment Plan


Week
Lecture Topic
5

Topic 5 : Cointegration: Bivariate


Cointegration Methodology
Linear Combinations of Integrated Variables
Cointegration and Common Trends
Cointegration and Error Correction Model
The Engle-Granger (EG) Methodology
Illustrating the EG Methodology
Cointegration and Purchasing Power Parity

Tutorial /
Assignment
Tutorial 7
(Topic 4):
Practical Lab 1:
Box-Jenkins
methodology
using Eviews
Tutorial 8
(Topic 5):
structural
question for
discussion
Mid-term test

Topic 6 : Multiequation Time Series Models


Vector Autoregressive (VAR) Analysis
Estimation and Identification of VAR
Forecasting with VAR
VAR and Causality
Some Problems with VAR Modelling
The Impulse Response Function
Hypothesis Testing
Structural VARs

Tutorial 9
(Topic 5):
Practical Lab 2:
Unit root and
cointegration
testing using
Eviews

Topic 7: Cointegration: Multivariate


Cointegration Methodology
Characteristic Roots, Rank and
Cointegration
Hypothesis Testing in a Cointegration
Framework
Illustrating the Johansen-Juselius (JJ)
Methodology

Generalised Purchasing Power Parity

Tutorial 10
(Topic 6):
structural
questions for
discussion

Unit Plan of UBEQ3013 Time Series Analysis

Tutorial 11
(Topic 7):
structural
questions for
discussion

Reference
Ender
(2010),
Chapter 6,
page 357
412)
Brooks
(2008),
Chapter 7,
page 318365)
Gujarati,
D.N. (2009)
(Part II :
Chapter 21
page 738
769)
Ender
(2010),
Chapter 5,
page 273
347)
Stock, J.H.
& Watson,
M.W.
(2001).
Vector
Autoregress
ions.
Journal of
Economic
Perspective
s, 15(4),
101 -115.
Ender
(2010),
Chapter 6,
page 357
412)
Brooks
(2008),
Chapter 7,
page 318365)
Gujarati,
D.N. (2009)
(Part II :
Chapter 22
page 773
797)
5

Lecture, Tutorial & Assignment Plan


Week
Lecture Topic
7

Topic 8 : Modelling Economic Time Series:


Trends And Volatility
Economic Time Series: The Stylised Facts
ARCH Process
ARCH and GARCH Models
Estimating a GARCH Model of the WPI
The ARCH-M Model
Maximum Likelihood Estimation of GARCH
& ARCH-M Models
Deterministic and Stochastic Trends
Removing the Trend
Stochastic Trends and Univariate
Decomposition

Tutorial /
Assignment
Tutorial 12
(Topic 7):
Practical Lab 3:
JJ and VECM
Submition of
group
assingment
Tutorial 13
(Topic 8):
structural
questions for
discussion

Reference
Ender
(2010),
Chapter 3,
page 121
170)
Brooks
(2002),
Chapter 8,
page 379444)

Tutorial 14
(Topic 8):
Practical Lab 4:
ARCH and
GARCH
estimation in
Eviews

This Unit Plan is:


Prepared by:
_____________________
(Name: Dr Yip chee Yin)
Lead Lecturer
Date:

Moderated by:
______________
(Name: Asociate Pro.Dr.Eng Yoke
Kee )
Moderator
Date

Approved by:
_______________________
(Name: Dr. Lau Lin Sea)
Head, Department of Economics
Date:

Notes: The information provided in this Unit Plan is subject to change by the Lecturers.
Students shall be notified in advance of any changes.

Unit Plan of UBEQ3013 Time Series Analysis