Econometrics 2: Topics in Time Series - EC543

Location Term Level Credits (ECTS) Current Convenor 2018-19
Canterbury
(version 2)
Spring
View Timetable
6 15 (7.5) PROF H Krolzig

Pre-requisites

EC500 Microeconomics
EC502 Macroeconomics
EC580 Introduction to Econometrics
EC581 Introduction to Time Series Econometrics

Restrictions

65% threshold in each of EC580 Introduction to Econometrics and EC581 Introduction to Time Series Econometrics

2018-19

Overview

This module presents a systematic and operational approach to the econometric modelling of economic time series, which gives an understanding of the techniques in practical, appropriate, analytical and rigorous manner. Econometric analysis is a core skill in modern economics.

The module links theory to empirical studies of the macroeconomy and includes the following topics:
Univariate Time Series Analysis
  • Concepts of stochastic processes;
  • Types of linear processes: Autoregressions and moving averages
  • Nonstationary linear processes
  • Predicting stochastic processes
  • Estimation of linear time series models
  • Dynamic Econometric Models
  • Nonsense Regressions;
  • The autoregressive distributed lag model;
  • Cointegration and equilibrium correction.
  • Multiple Time Series Models
  • Vector autoregressive processes;
  • Structural analysis: Causality and impulse-response analysis.

  • These topics are illustrated with a range of theoretical and applied exercises, which will be discussed in seminars and computer classes. As such, the module emphasises the development of practical skills in the use of software for empirical research, and introduces students to the research methods used by macroeconomists in academia, government departments, think tanks and financial institutions. It also helps students to prepare for the quantitative requirements of a master programme in economics.

    Details

    This module appears in:


    Contact hours

    14 lectures (90 minutes)
    5 seminars (90 minutes)
    5 PC sessions (90 minutes)
    3 drop-ins

    Availability

    This module is compulsory for Single Honours Economics with Econometrics and Financial Economics with Econometrics.
    This module is an elective for all other Single and Joint Honours degree programmes in Economics.
    This module is available to well-qualified students from other Faculties.

    Method of assessment

    In Course Test (1 hour) (10%)
    Group Project (10 pages) 20%
    Examination (2 hours) (70%)

    Indicative reading

    Time series econometrics is an expansive area of econometric theory and application. Most modern introductory texts provide an introduction to the issues discussed in the module:

    Green, W.H. (2003). Econometric Analysis. 5th edition, Englewood Cliffs, NJ: Prentice
    Gujarati D N (2002). Basic Econometrics. 4th edition, New York: McGraw-Hill.
    Johnston, J. and J. DiNardo (1997). Econometric Methods. 4th edition, New York: McGraw.
    Wooldridge J.M. (2016). Introductory Econometrics. 6th edition, Cengage.

    See the library reading list for this module (Canterbury)

    See the library reading list for this module (Medway)

    Learning outcomes

    On completion of the module, you will be able to:

    * understand and abstract the time-series properties of economic data.
    * synthesise and critically compare different econometric analyses of an economic issue.
    * demonstrate analytical skills that can be used to formulate and consider a range of econometric problems and issues.
    * practice the use of econometric concepts especially in relation to time series analyses.
    * demonstrate critical understanding of statistical, graphical and numerical data analyses.
    * collate, examine and interpret time-series data in the context of economic theory and policy.

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