Brief Course Description
1. Course Title:
Time Series Analysis
2. Language of Instruction:
Tiếng Việt
3. Course Code:
MAT508067
4. Credits:
3
5. Course Objectives:
The Time Series Analysis course provides advanced knowledge of time series analysis and time series modeling from both theoretical and practical perspectives, while also exploring the applications of these advanced models. Building on this foundation, learners can independently investigate other extended time series models.
6. Brief Description of Course Content:
This module focuses on time series analysis and some time series processing models commonly applied in practice. Specifically, this module provides students with the properties of time series and how to estimate, test, and forecast on time series processing models, including:
- Testing stationarity and spurious regression problems.
- ARIMA model.
- ARCH/GARCH model.
- VAR/SVAR model.
- Co-integration relationship and VECM model.
- State space and Hoddrick-Prescott filter.
In addition, Eviews / Stata / R software are used to support for calculation