Year of entry: 2018
Course unit details:
Time Series Econometrics
|Unit level||Level 3|
|Teaching period(s)||Semester 1|
|Available as a free choice unit?||Yes|
See course Blackboard pages.
|Unit title||Unit code||Requirement type||Description|
The aims of this course are to:
- Enhance the introductory discussion of time series techniques in ECON20110 Econometrics to provide deeper insights into contemporary methods employed in time series econometrics;
Examine how the techniques can be used at a practical level for analysis and forecasting.
At the end of this course, students should be able to:
- Demonstrate their understanding of the theoretical aspects of the econometric techniques covered in the course.
Apply time series methods to actual economic datasets using the econometric computer program Eviews.
Introduction (week 1):
- Time series properties and key definitions.
Stationary Processes (week 2):
- Properties of autoregressive moving average (ARMA) processes.
- Lag operator.
Models for Data (weeks 3 & 4):
- Specifying dynamic models.
- Ddiagnostic checking.
System Modeling (weeks 5/6/7):
- Macroeconometric models.
- Vector autoregressive (VAR) processes.
- 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.
- Analytical skills
- Problem solving
- 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.
- Tutorial/class feedback.
- Office hours.
- Discussion boards.
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.
|Scheduled activity hours|
|Assessment written exam||1.5|
|Practical classes & workshops||6|
|Independent study hours|
|Nicky Grant||Unit coordinator|