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School of Social Sciences

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BAEcon Economics
Learn how the social sciences can help you to understand today's world.

BAEcon Economics / Course details

Year of entry: 2018

Course unit details:
Time Series Econometrics

Unit code ECON30401
Credit rating 10
Unit level Level 3
Teaching period(s) Semester 1
Offered by Economics
Available as a free choice unit? Yes

Overview

See course Blackboard pages.

Pre/co-requisites

Unit title Unit code Requirement type Description
Econometrics ECON20110 Pre-Requisite Compulsory
Pre-requisites: ECON20110

Aims

The aims of this course are to:

  1. Enhance the introductory discussion of time series techniques in ECON20110 Econometrics to provide deeper insights into contemporary methods employed in time series econometrics;
  2. Examine how the techniques can be used at a practical level for analysis and forecasting.
     

Learning outcomes

At the end of this course, students should be able to:

  1. Demonstrate their understanding of the theoretical aspects of the econometric techniques covered in the course.
  2. Apply time series methods to actual economic datasets using the econometric computer program Eviews.
     

Syllabus

Introduction (week 1):

  • Time series properties and key definitions.

 

Stationary Processes (week 2):

  • Stationarity.
  • Properties of autoregressive moving average (ARMA) processes.
  • Autocorrelations.
  • Seasonality.
  • Lag operator.

 

Models for Data (weeks 3 & 4):

  • Specifying dynamic models.
  • Estimation.
  • Ddiagnostic checking.
  • Forecasting.
  • Seasonality.

 

System Modeling (weeks 5/6/7):

  • Macroeconometric models.
  • Vector autoregressive (VAR) processes.
  • Forecasting.
  • Structural VAR models.
  • Impulse responses.

 

Random Walk and Unit Roots (week 8):

  • Dererminisatistic and stochastic trends.
  • Dickey-Fuller and augmented Dickey-Fuller tests.

Teaching and learning methods

Lectures and exercise classes.

Employability skills

Analytical skills
Problem solving

Assessment methods

Method Weight
Other 20%
Written exam 80%

Final Exam:

  • Weighting: 80%.
  • Date: January examination period.
  • Length: 1.5 hours.
  • Structure: Exam contains Sections A & B; must answer 2 questions, with at least one question from Section B (covering the second half of the course material).

 

Formally Assessed Coursework:

  • Weighting: 20%.
  • Date: 2pm on 14/12/17.
  • Coursework Title: Empirical Project.
  • Word limit: 1000 words.

Feedback methods

  • Tutorial/class feedback.
  • Office hours.
  • Discussion boards.

Recommended reading

Notes will be provided for the course material. However, a useful reference is:

  • Enders,W.A., (2004), Applied Econometric Time Series, 2nd ed, Wiley

 

Other useful books that you may wish to consult include:

  • Favero, C.A. (2001), Applied Macroeconometrics, Oxford.
  • Mills, T.C. and R.N. Markellos (2008), The Econometric Modelling of Financial Time Series, 3rd ed, Cambridge.  The second edition is also OK.
  • Verbeek, M. (2008), A Guide to Modern Econometrics, 3rd ed., Wiley. Other editions also OK.
  • Wooldridge, J.M., (2008), Introductory Econometrics, 4th ed, South Western, Any other edition (1st, 2nd, 3rd or international) is OK.

Study hours

Scheduled activity hours
Assessment written exam 1.5
Lectures 20
Practical classes & workshops 6
Independent study hours
Independent study 72.5

Teaching staff

Staff member Role
Nicky Grant Unit coordinator

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