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EC306: Econometrics 2: Time Series

  • Alexander Karalis Isaac

    Module Leader
15 CATS - Department of Economics
Spring Module

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

By the end of the module students will have learnt how to carry out empirical analyses using time series data; how to interpret the results of such analyses; and will have acquired an ability to critically assess empirical papers in time-series literature.

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

Context

Optional Module
LM1D (LLD2) - Year 3, L116 - Year 3, V7ML - Year 3, L100 - Year 3, V7MM - Year 4, V7MP - Year 3, L1P5 - Year 1, L1PA - Year 1, V7MR - Year 3, LM1H - Year 4, GL12 - Year 4, GL11 - Year 3, L103 - Year 4
Pre or Co-requisites
EC226 or ST218 (part A) + ST219 (part B)
Restrictions
Not available to non-final year students on Economics-based degrees.
Part-year Availability for Visiting Students
Available in the Spring term only (1 x assignment – 12 CATS)

Assessment

Assessment Method
Coursework (20%) + 2 hour exam (80%)
Coursework Details
One assignment (1200-word essay) (20%)
Exam Timing
May/June

Exam Rubric

Time Allowed: 2 Hours

Answer ONE question in Section A (50 marks) and ONE question from Section B (50 marks). Answer Section A questions in one booklet and Section B questions in a separate booklet.

Approved pocket calculators are allowed. Statistical Tables are provided.

Read carefully the instructions on the answer book provided and make sure that the particulars required are entered on each answer book. If you answer more questions than are required and do not indicate which answers should be ignored, we will mark the requisite number of answers in the order in which they appear in the answer book(s): answers beyond that number will not be considered.

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.

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