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SDSC6012 - Time Series and Panel Data

Offering Academic Unit
School of Data Science
Credit Units
3
Course Duration
One Semester
Course Offering Term*:
Not offering in current academic year

* The offering term is subject to change without prior notice
 
Course Aims

In macroeconomics and other areas of business, science, and engineering, a lot of data is available as time series or panel data sets. In this course, students will study the statistical tools that are used to analyse such data and apply them to real world data with the help of the statistical software R. The first part of the course starts by reviewing basic stochastic process and time series concepts. Then, ARMA models are introduced together with estimation methods for the models and properties of their forecasts. The GARCH model for modelling variation in error variances is also taught. The second part of the course introduces panel data, the statistical model for panel data, and three methods for estimating panel data models. Throughout the course, emphasis will be given to analysis of data using the taught methods with R software.

Assessment (Indicative only, please check the detailed course information)

Continuous Assessment: 50%
Examination: 50%
Examination Duration: 2 hours
 
Detailed Course Information

SDSC6012.pdf

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School of Data Science