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EC306: Econometrics 2: Time Series

  • Jo Turrall

    Module Leader
15 CATS - Department of Economics

Introduction

EC306-15 Econometrics 2: Time Series

Principal Aims

The module will equip the student with the ability to undertake, understand, and critically assess empirical work in economics that uses time-series data, with a view to enabling the student to use econometrics to catalogue and describe empirical regularities and test various propositions.

Principal Learning Outcomes

Carry out empirical analyses using economic and financial time series data.

Interpret the results of such analyses, in terms of the validity of the inferences that can be drawn, and to appreciate the interplay between data and theory in making such inferences.

Demonstrate an ability to critically assess empirical papers.

Syllabus

Illustrative topics might include:

1. A review of relevant matrix algebra, and maximum likelihood estimation

2. The rationale for dynamic models, and some simple time-series model

3. Unit roots and testing for unit roots

4. Time-series models, model selection and forecasting

5. Spurious regression versus cointegration

6. Multivariate models and cointegration

7. Modelling second moments: ARCH and GARCH models

8. State Space Models

Context

Optional Module
GL11 - Year 3, GL12 - Year 4, L100 - Year 3, L103 - Year 4, L116 - Year 3, L1P5 - Year 1, L1PA - Year 1, LM1D (LLD2) - Year 3, LM1H - Year 4, V7ML - Year 3, V7MM - Year 4, V7MP - Year 3, V7MR - Year 3, L1CA - Year 3, L1CC - Year 3, L1CD - Year 3, L1CG - Year 4, L1CH - Year 4
Pre or Co-requisites

Any of:

ST218-12 Mathematical Statistics Part A AND

ST219-12 Mathematical Statistics Part B

OR

EC226-30 Econometrics 1

OR

ST230-15 Mathematical Statistics OR

ST232-15 Introduction to Mathematical Statistics OR

ST233-15 Introduction to Mathematical Statistics

AND

ST227-15 Stochastic Processes OR

ST228-15 Mathematical Methods and Statistics and Probability OR

ST229-15 Probability for Mathematical Statistics

Summary:

Modules: EC226-30

Assessment

Assessment Method
Coursework (30%) + Centrally-timetabled examination (On-campus) (70%)
Coursework Details
Centrally-timetabled examination (On-campus) (70%) , Written Assignment (1200 words) (30%)
Exam Timing
Summer

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