ESGC6115 Time Series Analysis

Course Guide

1.

INTRODUCTION TO THE COURSE

Course Co-ordinator

Dr. Ahmad Farid Osman

Department of Applied Statistics, Faculty of Economics and Administration Building, University of Malaya, 50603 Kuala Lumpur. Room: E7, Phone +603 7967 3665, Email: faridosman@um.edu.my. Aims Time series analysis and forecasting are two essential elements encountered in many applications arising in business areas such as accounting, economics, banking, finance and management. This course is designed to equip students with the necessary skills to handle time series data with confidence. In particular, students will be taught the formal procedures of identifying and understanding characteristics of time series data in accounting, economics, banking, finance and management, and the skills for developing and analysing models for forecasting time series data. Furthermore they will encounter real-world applications for modelling and evaluating forecasts upon which decision-making would depend. Objectives On successful completion of this course, students are expected to 1. 2. 3. 4. 5. Understand the use of basic tools of forecasting Have a solid understanding of basic time series analysis techniques Have a good understanding of moving average and exponential smoothing forecasting techniques and be able to forecast real economic, business and financial time series by moving average and exponential smoothing techniques. Have a good understanding of the Box-Jenkins method of forecasting and be able to forecast real economic, business and financial time series by the Box-Jenkins method. Develop skills in interpreting computer output and report writing

Syllabus 1. Introduction 2 Basic forecasting tools 3. Review of basic time series and forecasting techniques 4. Averaging and exponential smoothing forecasting methods 5. Box-Jenkins method of forecasting 6. Time series regression Throughout there will be applications to time series from the accounting, economics, banking, finance, and management areas. Excel and Eviews will be used.

MATERIALS REQUIRED FOR THE COURSE

Prescribed Text
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ESGC6115 Time Series Analysis

Course Guide

Deibold F.X., Elements of Forecasting , 4nd Edition, South-Western, Thomson Learning, 2007. Other References: Makridakis, S., S.C. Wheelwright and Hyndman. Methods & Applications, New York : Wiley, 1998 Shumway, Robert H, David S. Stoffer (2006). Time Series Analysis and Its Applications. With R Examples. Second Edition. New York: Springer Wilson, J. Holton and Barry Keating (2004) Business Forecasting. New York: McGraw Hill. Box, G.E.P., Jenkins, G.M., & Reinsel, G.C. (1994). Time series analysis -- Forecasting and control. 3rd edition. Englewood Cliffs, NJ: Prentice Hall. Software Excel and Eviews will be used.

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ASSESSMENT OF THE COURSE

Assessment details Assignment Midterm Research Project Final Examination (2 hours) Marks 15% 20% 15% 50% Date (Sumission) Monday of Week 7, 11 Monday of Week 9 Monday of Week 13 TBA

To pass this Course, you must obtain at least an overall mark of 65% of the total marks

WEEKLY SCHEDULE
Week 1 Lecture/Tutorial/Assignment Topic Introduction to time series data & Tools for examining time series References/Teaching Materials/Equipment Diebold, Chap 1, Chap 2, Notes 2

ESGC6115 Time Series Analysis

Course Guide

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Moving average and Classical Decomposition Smoothing Smoothing Characterizing the Cycle Modeling the Cycle ARMA Models ARMA Models Modeling stationary data Non-stationarity and seasonality Modeling non-stationary data Modeling Trend and Seasonality (deterministic/regression) Regression & ARMA Revision

Makridakis et al., Chap 3, Notes Makridakis et al., Chap 4, Notes Makridakis et al., Chap 4, Notes Diebold, Chap 7 Notes Diebold, Chap 8 Notes Diebold, Chap 8, 9 Diebold, Chap 9 Diebold, Chap 10 Notes Diebold, Chap 13 Diebold, Chap 13 Diebold, Chaps 5, 6 Notes Diebold, Chap 11 Notes