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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)
Credits:
15

Lecturers
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 methodology, applicable over a broad range of disciplines, the present module concentrates on those developments which can be applied in the subject of 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. The key issues addresses will be the identification of non-stationarity through the construction of formal tests and the implications for modelling with non-stationary data. Particular attention will be paid to the contributions of Sir Clive Granger to the spurious regression problem and to cointegration analysis, for which he was ultimately awarded the `Nobel Prize`.

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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 multivariate models of stationary and non-stationary time series processes and the analysis of their long run behaviour.

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 
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. Students are required to attempt 2 compulsory questions in Section A (one from each half of the module), plus 1 question from 2 for each of Sections B and C (corresponding to the two halves of the module). Students are advised to spend 30 minutes on each answer.

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

The lecture notes for this module are intended to be self-contained. Students may wish to refer to textbooks which cover much of the material:

Hamilton J.D. “Time Series Analysis” (Princeton, 1994)

Martin, Hurn and Harris “Econometric Modelling with Time Series: Specification, Estimation and Testing” (CUP, 2012)

Maddala and Kim “Unit Roots, Cointegration and Structural Change” (CUP, 1998).

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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