Time Series Economics
As Taught Spring
Semester 2011
Professor A Taylor, School of Economics, University of Nottingham
Module
Title: Time Series
Economics
Module
Code: L14020
Total
Credits: 15
Level
of Study: Post Graduate
Offering
School: School of
Economics
Frequency
of Class: 1 x 2 hour lecture
per week
Prerequisites:
L14003 Econometric Theory
Targeted Students: MSc students in the School of Economics
The content
presented here provides information for prospective students on module L14020 –
‘Time Series Economics’, offered by the School of Economics, University of
Nottingham. The module convenor is Professor A Taylor.
- The Central
Limit Theorem. The Cramer-Rao Lower Bound. Application to OLS estimators.
- Consistency
and asymptotic normality of Maximum Likelihood Estimators. Asymptotic test
procedures: Likelihood Ratio, Wald and Lagrange Multiplier Tests.
- Non-stationary
time series including: Autoregressive Integrated Moving Average (ARIMA) models;
unit autogressive roots; a comparison of difference stationary and
trend-stationary processes; deterministic trends and stochastic trends;
spurious regressions.
- Testing for
unit autoregressive roots: methodology and limitations.
- Asymptotic
methods for non-stationary time series: Brownian motion; the functional central
limit theorem; the continuous mapping theorem; applications to unit root
testing and the spurious regression problem.
- Structural
time series models; locally best invariant testing principles; stationarity
testing.
- Models of
volatility: martingale difference processes; Generalised Autoregressive
Conditionally Heteroskedastic (GARCH) models.
- Introduction
to issues in relating economic time series: causality and vector autoregressive
models.
- The theory
of co-integration; the error-correction representation; testing for
co-integration; estimating co-integrated systems.