Data Analytics I: Essentials in Economics and Finance (EC988).
Graduate Programme in Applied Economics course; University of Strathclyde; Fall 2024 (with P. Wu).
Overview.
This module primarily focuses on analysing and modeling macroeconomic and financial time series. It is intended to provide students with a comprehensive introduction to time series and the application of basic time series econometrics in macroeconomics and finance. This is achieved through consideration of such topics as the introduction to univariate and multivariate time series modeling, local projections, vector autoregression, and factor models. The module will provide the necessary basic knowledge and fundamental tools for modeling time series, which can be used to conduct individual structural policy as well as scenario analysis in macroeconomics and finance.
List of lectures and lab sessions.
- Basics in mathematics and statistics and Introduction to R
- Introduction to time series data analytics: Autoregressive distributed lag model (ARDL) and local projections (LPs)
- Multivariate time series data analytics: Estimation of vector autoregressions (VARs)
- Structural identification in macroeconomics using LPs and VARs
- Explorative pattern recognition methods in panel data: Principal components, static and dynamic factor models