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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
11.
Mode of
Delivery:
Objective:
12.
13.
Learning
Outcome:
14.
Reading List:
Method of
Assessment:
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
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
Tutorial /
Assignment
Tutorial 1
(Topic 1):
structural
questions for
discussion
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
Tutorial 5
(Topic 3):
structural
question for
discussion
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)
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
Tutorial 9
(Topic 5):
Practical Lab 2:
Unit root and
cointegration
testing using
Eviews
Tutorial 10
(Topic 6):
structural
questions for
discussion
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
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
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.