Advanced Time Series Economics

As Taught Spring Semester 2011



Professor A Taylor, School of Economics, University of Nottingham

Module Title: Advanced Time Series Economics

Module Code: L13621

Total Credits: 15

Level of Study: undergraduate

Offering School: School of Economics

Frequency of Class: 1 x 2 hour lecture per week, 1 x 1 hour tutorial per week

Prerequisites: L12320 Econometrics I, L12420 Econometrics II.

Targeted Students: Students who have taken the relevant pre-requisites.  Available to JYA/Erasmus students.

The content presented here provides information to prospective students on module L13621 – ‘Advanced Time Series Economics’, offered by the School of Economics, University of Nottingham. The module convenor is Professor A Taylor.

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.