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MSc Economics

Year of entry: 2020

Course unit details:
Applied Macroeconometrics

Unit code ECON60522
Credit rating 15
Unit level FHEQ level 7 – master's degree or fourth year of an integrated master's degree
Teaching period(s) Semester 2
Offered by Economics
Available as a free choice unit? Yes

Aims

The aims of this course are to:

(i) enable students to understand recent applied literature in core journals of economics and finance which uses time series methods;

(ii) prepare students for possible later research involving time series.

Learning outcomes

At the end of this course students should be able to:

(i)         derive the properties of simple stationary and nonstationary time series;

(ii)        understand and apply univariate unit root tests;

(iii)       employ VAR models to analyse both stationary and nonstationary macroeconomic time series;

(iv)       critically read applied studies which use the Johansen cointegration methodology;

(v)        understand how time-varying models may capture the changing properties of macroeconomic variables over business cycle expansions and contractions;

(vii)      use econometric software packages to apply the above methods to observed macroeconomic data..

Syllabus

 

  1. Review of univariate time series processes
    Properties of stationary ARMA processes; types of nonstationarity; diagnostic tests
  2. Unit root tests
    Properties of integrated processes; Augmented Dickey-Fuller tests; treatment of deterministic terms
  3. VAR models
    Properties of stationary VAR models; diagnostic tests for VAR models; structural VAR models; impulse response functions
  4. Cointegration
    Cointegration in VAR models; error-correction representation; Johansen methodology
  5. Time-varying models
    Introduction to nonlinear models; testing for structural breaks; applications to business cycle modelling

Teaching and learning methods

Lectures and Tutorials

Assessment methods

Final examination: 65%
Assessed coursework: 25% (2 exercises weighted at 10% and 15%)
Mid-term test: 10%

Recommended reading

Handouts will be provided for most topics.

Preliminary Reading:

Enders, Walter: Applied Econometric Time Series, 2nd ed., Wiley 2004.

Harris, Richard and Sollis, Richard: Applied Time Series Modelling and Forecasting, Wiley 2003.

Study hours

Scheduled activity hours
Lectures 20
Tutorials 9
Independent study hours
Independent study 121

Teaching staff

Staff member Role
Arthur Sinko Unit coordinator

Additional notes

Information
Pre-Requisite: ECON61001 Econometric Methods

Timetable
Lecture - Friday 1-3pm,
Tutorial - Tuesday 11-12pm,

 

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