MSc Economics / Course details

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.

ECON61001 is a Pre-Requisite for ECON60522

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..

Provisional

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
    

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.

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.