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