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.

Taught topics on this module includes:

  • 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.