School of Economics

L13621 Advanced Time Series Econometrics

Module description & content | Aims & objectivesLectures & tutorials | Assessment | Module texts

Prerequisites: L12320 Econometrics IL12420 Econometrics II or equivalent (lecturers permission required)

Dr Ioannis Karavia t: +44 (0)115 95 15480 e: Ioannis.Karavias@nottingham.ac.uk
Dr Patrick Marsh t: +44 (0)115 84 66714 e: Patrick.Marsh@nottingham.ac.uk

Module description & content

This module is a continuation of the module on time series analysis taken in the second semester of the second year. While the earlier module was devoted to basic time series model building methology, applicable over a broad range of disciplines, the present module concentrates on those developments in the subject which have been applied in Economics. In particular, the emphasis will be on aspects of the behaviour of typical economic time series, and the implications of that behaviour in practical analysis, such as the construction of models linking economic time series.

  1. Introduction to ARIMA models (unit autogressive roots).
  2. Testing for unit autoregressive roots: methodology and limitations.
  3. Structural time series models and stationarity testing.
  4. Models of volatility: GARCH.
  5. Introduction to issues in relating economic time series: causality, vector autoregressions and spurious regressions.
  6. The theory of cointegration, and the error-correction representation; testing for cointegration.

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Aims and objectives

The main aims of the module are:

  • Introduction of the concept of unit autogressive roots, and the consequences of that concept for the analysis of economic time series - in particular, the importance of cointegration analysis and error-correction models.
  • The introduction of other time series - analytic concepts and tools that have found applicability in Economics. These include structural time series models, stationarity testing and GARCH models.

On completing this module, the learning outcomes are such that students will be able to:

Knowledge and Understanding:

  • A1 Demonstrate a broad knowledge of core areas of economics
  • A4 Demonstrate understanding of verbal, graphical, mathematical and econometric representation of economic ideas and analysis, including the relationship between them.
  • A5 Show understanding of relevant mathematical and statistical techniques.
  • A7E Demonstrate more extensive knowledge and skills of quantitative economics and econometrics.
  • A7 BSc Demonstrate more extensive knowledge and skills of quantitative or theoretical modelling areas of economics and econometrics.

Intellectual Skills:

  • B1 apply complex ideas to solve problems
  • B2 work with abstract concepts and in a context of generality
  • B4 perform with high levels of accuracy

Professional / Practical Skills:

  • C2 select and apply appropriate techniques to solve problems
  • C3 justify conclusions using economic arguments with appropriate rigour

Transferable Skills:

  • D1 apply mathematical, statistical and graphical techniques in an appropriate manner
  • D2 communicate effectively and clearly in written and oral formats
  • D3 analyse and solve complex problems accurately

Emphasised learning outcomes from the study of this module are: A7E, B1, C2, D1.

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Lectures and tutorials

Economics lecture timetables are available online in Moodle.

20 hours of lectures throughout the semester 
The lecture series is intended to be self-contained and comprehensive in terms of the module requirements. However, there are a number of books on the subject that it may be useful to consult.

Tutorials will be held at least fortnightly, at times that will be arranged in the lectures. They serve two key purposes. First, they provide a forum for students to raise questions - either seeking clarification or elaboration - on topics that have been covered in the lectures. Second, problem sets will be handed out. Working these problems should facilitate understanding and also permit further discussion of the implications of some of the core module material.

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Module Assessment

There is a compulsory 2.5-hour examination at the end of the module, forming 100% of the assessment

Previous Examination Papers and Feedback for all modules can be viewed online in Moodle but are restricted to registered students only. A password may be required to access this material.

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Module Texts

There are many excellent textbooks, of varying degrees of technical sophistication, that cover some or all of the material of this module. These include:

  • J. Hamilton, Time Series Analysis
  • G.S. Maddala and I.M. Kim, Unit Roots, Cointegration, and Structural Change
  • A. Banerjee, J. Dolado, J.W. Galbraith and D.F. Hendry, Cointegration, Error-correction, and the Econometric Analysis of Nonstationary Data
  • T.C. Mills, Time Series Techniques for Economists
  • K. Patterson, An Introduction to Applied Econometrics: A Time Series Approach
  • T.C. Mills, The Econometric Modelling of Financial Time Series
  • J. Stewart, Econometrics

The module does not follow any one of these texts, but students may be referred to appropriate ones as the need for clarification arises.

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Further information

If you have any questions regarding this module please feel free to contact the lecturer. At the end of this semester, we would welcome your views on the organisation and content of this module.

Undergraduate Prospectus: Economics Courses

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School of Economics

Sir Clive Granger Building
University Park
Nottingham, NG7 2RD

telephone: +44 (0)115 951 5620 (Undergraduate admissions: +44 (0)115 951 5617; Masters admissions: +44 (0)115 823 2516; PhD Admissions: +44 (0)115 951 5250)
fax: +44 (0) 115 951 4159
email: economics-enquiries@nottingham.ac.uk