EC306: Econometrics 2: Time Series

• Alexander Karalis Isaac

15 CATS - Department of Economics
Summer Module
Spring 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.

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, 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

Any of:

ST218-12 Mathematical Statistics Part A AND

ST219-12 Mathematical Statistics Part B

OR

EC226-30 Econometrics 1

Summary:

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

Assessment

Assessment Method
Coursework (30%) + Online Examination (70%)
Coursework Details
Online Examination (70%) , Written Assignment (1200 words) (30%)
Exam Timing
Summer

Exam Rubric

Time Allowed: 2 Hours