# EC306: Econometrics 2: Time Series

• #### Alexander Karalis Isaac

15 CATS - Department of Economics
Summer Module

### Principal Aims

EC306-15 Econometrics 2: Time Series

### Principal Learning Outcomes

Carry out empirical analyses using economic and financial time series data.The teaching and learning methods that enable students to achieve this learning outcome are: Lectures, seminars and background reading The summative assessment methods that measure the achievement of this learning outcome are: Examination and assessment

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. The teaching and learning methods that enable students to achieve this learning outcome are: Lectures, seminars and background reading The summative assessment methods that measure the achievement of this learning outcome are: Examination and assessment

Which will include demonstration of an ability to critically assess empirical papers. The teaching and learning methods that enable students to achieve this learning outcome are: Lectures, seminars and background reading

### 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
Pre or Co-requisites
Modules: () and EC226-30
Part-year Availability for Visiting Students
Available in the Spring term only (1 x assignment – 12 CATS)

### Assessment

Assessment Method
Coursework (30%) + 2 hour examination (Summer) (70%)
Coursework Details
Assignment - 1200-word essay (30%), 2 hour examination (Summer) (70%)
Exam Timing
N/A

### Exam Rubric

Time Allowed: 2 Hours