Skip to main content Skip to navigation

Module Catalogue

EC306-15 Econometrics 2: Time Series

Department
Economics
Level
Undergraduate Level 3
Module leader
Alexander Karalis Isaac
Credit value
15
Module duration
10 weeks
Assessment
30% coursework, 70% exam
Study location
University of Warwick main campus, Coventry

Download as PDF

Introductory description

EC306-15 Econometrics 2: Time Series

Module web page

Module aims

The module will equip the student with the ability to undertake, understand, and critically assess empirical work in economics that uses time-series data, with a view to enabling the student to use econometrics to catalogue and describe empirical regularities and test various propositions.

Outline syllabus

This is an indicative module outline only to give an indication of the sort of topics that may be covered. Actual sessions held may differ.

Illustrative topics might include:

  1. A review of relevant matrix algebra, and maximum likelihood estimation
  2. The rationale for dynamic models, and some simple time-series model
  3. Unit roots and testing for unit roots
  4. Time-series models, model selection and forecasting
  5. Spurious regression versus cointegration
  6. Multivariate models and cointegration
  7. Modelling second moments: ARCH and GARCH models
  8. State Space Models

Learning outcomes

By the end of the module, students should be able to:

  • Carry out empirical analyses using economic and financial time series data. The teaching and learning methods that enable students to achieve this learning outcome are: Lectures, seminars and background reading. The summative assessment methods that measure the achievement of this learning outcome are: Examination and assessment.
  • Interpret the results of such analyses, in terms of the validity of the inferences that can be drawn, and to appreciate the interplay between data and theory in making such inferences. The teaching and learning methods that enable students to achieve this learning outcome are: Lectures, seminars and background reading. The summative assessment methods that measure the achievement of this learning outcome are: Examination and assessment.
  • Demonstrate an ability to critically assess empirical papers. The teaching and learning methods that enable students to achieve this learning outcome are: Lectures, seminars and background reading.

Indicative reading list

Please see Talis Aspire link for most up to date list.

View reading list on Talis Aspire

Subject specific skills

Students will have the opportunity to develop skills in:
Analysis of time-series models
Analysis of time-series data
Estimation, inference and prediction using time-series data
Relevance of stationarity assumptions and tests for these in the data
Aspects of endogeneity, simultaneity, causality and policy analysis using time-series data
Analysis of multivariate cointegrated data; exposure to modern methods in time-series econometrics.

Transferable skills

Students will have the opportunity to develop:
Research skills
Numeracy and quantitative skills
Data-based skills
IT skills
Written communication skills
Mathematical, statistical and data-based research skills

Study time

Type Required
Lectures 20 sessions of 1 hour (13%)
Seminars 4 sessions of 1 hour (3%)
Private study 126 hours (84%)
Total 150 hours

Private study description

Private study will be required in order to prepare for seminars/classes, to review lecture notes, to prepare for forthcoming assessments, tests, and exams, and to undertake wider reading around the subject.

Costs

No further costs have been identified for this module.

You do not need to pass all assessment components to pass the module.

Assessment group D2
Weighting Study time Eligible for self-certification
Written Assignment (1200 words) 30% No
Online Examination 70% No

A paper which examines the course content and ensures learning outcomes are achieved.

~Platforms - AEP

  • Answerbook provided by department
  • Students may use a calculator
  • Economics dept. statistical tables (yellow/ red)
Feedback on assessment

The Department of Economics is committed to providing high quality and timely feedback to students on their assessed work, to enable them to review and continuously improve their work. We are dedicated to ensuring feedback is returned to students within 20 University working days of their assessment deadline. Feedback for assignments is returned either on a standardised assessment feedback cover sheet which gives information both by tick boxes and by free comments or via free text comments on tabula, together with the annotated assignment. For tests and problem sets, students receive solutions as an important form of feedback and their marked assignment, with a breakdown of marks and comments by question and sub-question. Students are informed how to access their feedback, either by collecting from the Undergraduate Office or via tabula. Module leaders often provide generic feedback for the cohort outlining what was done well, less well, and what was expected on the assignment and any other common themes. This feedback also includes a cumulative distribution function with summary statistics so students can review their performance in relation to the cohort. This feedback is in addition to the individual-specific feedback on assessment performance.

Past exam papers for EC306

Pre-requisites

Any of:

ST218-12 Mathematical Statistics Part A AND
ST219-12 Mathematical Statistics Part B

OR

EC226-30 Econometrics 1

Courses

This module is Optional for:

  • TECA-L1PA Postgraduate Taught Economics (Diploma plus MSc)
    • Year 1 of L1PA Economics (Diploma plus MSc)
    • Year 2 of L1PA Economics (Diploma plus MSc)
  • UECA-3 Undergraduate Economics 3 Year Variants
    • Year 3 of L100 Economics
    • Year 3 of L116 Economics and Industrial Organization
  • UECA-4 Undergraduate Economics 4 Year Variants
    • Year 4 of LV16 Economics & Economic History with Study Abroad
    • Year 4 of L103 Economics with Study Abroad
    • Year 4 of LM1H Economics, Politics & International Studies with Study Abroad
  • Year 3 of UECA-LM1D Undergraduate Economics, Politics and International Studies
  • USTA-G300 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics
    • Year 3 of G300 Mathematics, Operational Research, Statistics and Economics
    • Year 4 of G300 Mathematics, Operational Research, Statistics and Economics
  • Year 3 of UMAA-GL11 Undergraduate Mathematics and Economics
  • Year 4 of UECA-GL12 Undergraduate Mathematics and Economics (with Intercalated Year)
  • USTA-G1G3 Undergraduate Mathematics and Statistics (BSc MMathStat)
    • Year 3 of G1G3 Mathematics and Statistics (BSc MMathStat)
    • Year 4 of G1G3 Mathematics and Statistics (BSc MMathStat)
  • USTA-G1G4 Undergraduate Mathematics and Statistics (BSc MMathStat) (with Intercalated Year)
    • Year 4 of G1G4 Mathematics and Statistics (BSc MMathStat) (with Intercalated Year)
    • Year 5 of G1G4 Mathematics and Statistics (BSc MMathStat) (with Intercalated Year)

This module is Core option list B for:

  • Year 3 of USTA-G300 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics
  • USTA-G301 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated
    • Year 3 of G30F Master of Maths, Op.Res, Stats & Economics (Econometrics and Mathematical Economics Stream) Int
    • Year 4 of G30F Master of Maths, Op.Res, Stats & Economics (Econometrics and Mathematical Economics Stream) Int

This module is Option list A for:

  • USTA-G300 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics
    • Year 3 of G30A Master of Maths, Op.Res, Stats & Economics (Actuarial and Financial Mathematics Stream)
    • Year 4 of G30A Master of Maths, Op.Res, Stats & Economics (Actuarial and Financial Mathematics Stream)
  • USTA-G301 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated
    • Year 3 of G30E Master of Maths, Op.Res, Stats & Economics (Actuarial and Financial Mathematics Stream) Int
    • Year 4 of G30E Master of Maths, Op.Res, Stats & Economics (Actuarial and Financial Mathematics Stream) Int
    • Year 5 of G30E Master of Maths, Op.Res, Stats & Economics (Actuarial and Financial Mathematics Stream) Int
  • Year 3 of USTA-Y602 Undergraduate Mathematics,Operational Research,Statistics and Economics
  • Year 4 of USTA-Y603 Undergraduate Mathematics,Operational Research,Statistics,Economics (with Intercalated Year)

This module is Option list B for:

  • Year 4 of USTA-G300 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics
  • Year 5 of USTA-G301 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated
  • Year 3 of USTA-GG14 Undergraduate Mathematics and Statistics (BSc)
  • Year 4 of USTA-GG17 Undergraduate Mathematics and Statistics (with Intercalated Year)

This module is Option list C for:

  • Year 3 of USTA-G300 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics
  • USTA-G301 Undergraduate Master of Mathematics,Operational Research,Statistics and Economics (with Intercalated
    • Year 3 of G30F Master of Maths, Op.Res, Stats & Economics (Econometrics and Mathematical Economics Stream) Int
    • Year 4 of G30F Master of Maths, Op.Res, Stats & Economics (Econometrics and Mathematical Economics Stream) Int