Year of entry: 2020
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Course unit details:
|Unit level||FHEQ level 7 – master's degree or fourth year of an integrated master's degree|
|Teaching period(s)||Semester 2|
|Available as a free choice unit?||Yes|
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.
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..
Review of univariate time series processes
Properties of stationary ARMA processes; types of nonstationarity; diagnostic tests
Unit root tests
Properties of integrated processes; Augmented Dickey-Fuller tests; treatment of deterministic terms
Properties of stationary VAR models; diagnostic tests for VAR models; structural VAR models; impulse response functions
Cointegration in VAR models; error-correction representation; Johansen methodology
Introduction to nonlinear models; testing for structural breaks; applications to business cycle modelling
Teaching and learning methods
Lectures and Tutorials
Final examination: 65%
Assessed coursework: 25% (2 exercises weighted at 10% and 15%)
Mid-term test: 10%
Handouts will be provided for most topics.
Enders, Walter: Applied Econometric Time Series, 2nd ed., Wiley 2004.
Harris, Richard and Sollis, Richard: Applied Time Series Modelling and Forecasting, Wiley 2003.
|Scheduled activity hours|
|Independent study hours|
|Arthur Sinko||Unit coordinator|
Pre-Requisite: ECON61001 Econometric Methods
Lecture - Friday 1-3pm,
Tutorial - Tuesday 11-12pm,