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EC306: Econometrics 2: Time Series

  • Alexander Karalis Isaac

    Module Leader
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

Read all instructions carefully- and read through the entire paper at least once before you start entering your answers.

There are TWO Sections in this paper. Answer ONE question in Section A (50 marks) and ONE question in Section B (50 marks).

Approved pocket calculators are allowed. Statistical Tables are provided.

You should not submit answers to more than the required number of questions. If you do, we will mark the questions in the order that they appear, up to the required number of questions in each section.

Previous exam papers can be found in the University’s past papers archive. Please note that previous exam papers may not have operated under the same exam rubric or assessment weightings as those for the current academic year. The content of past papers may also be different.

Reading Lists