ETX5200 · Time series and panel data econometrics

Overview

The first-half of this subject covers both univariate and multivariate time series models, including vector autoregressive models, which are relevant to the analysis of time series data in business and economics. The main focus includes: (i) estimation for stationary time series models; (ii) estimation and inference for nonstationary time series models; (iii) introduction of some commonly used nonlinear time series, such as threshold and other types of nonlinear and nonstationary models; and (iv) introduction of vector autoregressive models. The second half introduces some panel data models with a particular attention on: (i) linear fixed- and random-effects models; (ii) linear dynamic panel data models; (iii) panel data models associated with cross-sectional dependence; and (iv) nonlinear and nonstationary panel data models. If time permits, further issues such as unit-root testing for nonstationary panel data models will be covered.

Offerings

Assessment

The Handbook lists an examination for this unit.

Assessment details may change. Please refer to the assessment information in Moodle closer to the start of the teaching period.

Requisites

Learning outcomes

1. test the properties of economic and financial time series under various conditions such as structural breaks and asymmetric assessment due to business cycles
2. test if the modelling framework for the relationship between variables should be linear or nonlinear
3. test for the existence of long run relationship and if it is nonlinear and stable
4. conduct multivariate time series analysis
5. conduct panel data analysis.

Workload

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.

Student experience, not official rules. Nothing here changes what the Handbook says.