EC306: Econometrics 2: Time Series
Introduction
EC306-15 Econometrics 2: Time SeriesPrincipal 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