Fu Jen Catholic University Huei-Yu Chiu (n=Ø)
Graduate School of Economics Office hours: 13:30-16:30, Wednesday Spring 2009
Course number: G-6562-05918 Office tel: 2905-2706
Class hours: 13:40-16:30, Friday Email: [email protected]
Special topics in Econometrics (l¾%Èçùæ)
Most macroeconomic and financial data are time series. This kind of data are collected according to time. The methodology of time series analysis is construct- ing models and forecasting based on the known past information. This course is designed to introduce the characteristic of time series models and make further forecasts. We attempt to cover time domain analysis of time series. Stationary and nonstationary processes modelled with linear and nonlinear forms will be dis- cussed respectively. Topics such as ARMA models, unit root tests, cointegration, error-correction model, threshold AR models, threshold cointegration and threshold ECM will be investigated. We will also introduce various financial models. Besides, how to use econometric software, Gauss, to do simulation will be also introduced in this class.
Readings
1. Enders, W. (2003), Applied Econometric Time Series, Wiley.
2. Franses, P. H. and D. van Dijk (2000), Non-Linear Time Series Models in Empirical Finance, Cambridge University Press.
3. Fuller, W. (1995), Introduction to Statistical Time Series, Wiley-Interscience.
4. Hamilton, J. D. (1994), Time Series Analysis, Princeton University Press.
5. Kuan, C. -M. (2005), Basic Time Series Analysis, lecture notes.
6. ÏÁô (2008), vÈå}&-,ñ%ÈD‹À¢5@à, ‰Mz.
1
Course Outline
Week 1 (2/20): Difference equations, lag operators, stochastic processes and stationarity
Week 2 (2/27): Stationary ARMA processes I: model estimation and forecast Week 3 (3/06): Stationary ARMA processes II: model estimation and forecast Week 4 (3/13): Vector AR processes
Week 5 (3/20): Threshold AR models: SETAR, STAR, LSTAR models Week 6 (3/27): Markov switching model
Week 7 (4/03): Holiday Week 8 (4/10): Holiday Week 9 (4/17): Midterm
Week 10 (4/24): Deterministic trend, stochastic trend & Wiener processes Week 11 (5/1): Unit root tests
Week 12 (5/08): Tests for stationarity
Week 13 (5/15): Cointegration I: estimation & tests Week 14 (5/22): Cointegration II: error correction model Week 15 (5/29): Holiday
Week 16 (6/05): Threshold cointegration and threshold error correction model Week 17 (6/12): Financial models: ARCH-type models
Week 18 (6/19): Final exam: term paper presentation
Grading
1. Homework (30%) 2. Midterm (30%) 3. Term paper (40%)
2
