EC306: Econometrics 2: Time Series

Alexander Karalis Isaac
Module Leader

15 CATS - Department of Economics

Summer Module

Spring Module

Introduction

EC306-15 Econometrics 2: Time Series

Principal Aims

The module will equip the student with the ability to undertake, understand, and critically assess empirical work in economics that uses time-series data, with a view to enabling the student to use econometrics to catalogue and describe empirical regularities and test various propositions.

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.

Demonstrate 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, L1P5 - Year 1, L1PA - Year 1, LM1D (LLD2) - Year 3, V7ML - Year 3, V7MM - Year 4, L1CA - Year 3, L100 - Year 3, L103 - Year 4, L116 - Year 3, LM1H - Year 4, V7MP - Year 3, V7MR - Year 3, L1CC - Year 3, L1CD - Year 3, L1CG - Year 4, L1CH - Year 4

Pre or Co-requisites

Any of:

ST218-12 Mathematical Statistics Part A AND

ST219-12 Mathematical Statistics Part B

EC226-30 Econometrics 1

Summary:

Modules: (ST218-12 and ST219-12) and EC226-30

Assessment

Assessment Method: Coursework (30%) + Centrally-timetabled examination (On-campus) (70%)
Coursework Details: Centrally-timetabled examination (On-campus) (70%) , Written Assignment (1200 words) (30%)
Exam Timing: Summer

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).

Use a separate booklet for each Section.

• Use a GREEN booklet for Section A questions.

• Use a SEPARATE GREEN booklet for Section B questions.

You must write the number(s) of the question(s) you have answered on the front cover of each booklet. Make sure the numbers are clearly visible and correspond to the questions you completed inside that booklet.

Do not submit answers to more than the required number of questions. If you do, only the first answers (in the order they appear) will be marked, up to the required number for each section.

Approved scientific (non-graphical) pocket calculators are allowed.

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.

Alexander Karalis Isaac