Brief Course Description
1. Course Title:
Time series analysis
2. Language of Instruction:
Tiếng Việt
3. Course Code:
MAT708004
4. Credits:
3
5. Course Objectives:
6. Brief Description of Course Content:
The time series analysis course provides knowledges and skills needed to do empirical research in fields operating with time series data sets. The course aims to provide students with techniques and receipts for estimation and assessment of quality of economic models with time series data. Special attention will be placed on limitations and pitfalls of different methods and their potential fixes. Topics include:
- Stationary process, spurious regression problem and stationary tests
- AR, MA, ARMA, ARIMA and Box-Jenskin method
- ARCH/GARCH model
- VAR/SVAR models
- Cointegration and ECM/VECM model
- Spectral analysis
The course will also emphasize recent developments in Time Series Analysis and will present some open questions and areas of ongoing research. In addition, students are guided to practice on Eviews/Stata/R software and read and understand research articles related to advanced models of time series.