ECON60522
Applied Macroeconometrics
15
Semester 2
Postgraduate Taught
Level 6
Arthur Sinko
Unit coordinator
Economics
1
FHEQ level (Framework for Higher Education Qualifications) ' Masters/Integrated Masters P4 '
European Credit Transfer & Accumulation System Rating : 7.5
<table border="0" cellpadding="0" cellspacing="0" cols="6" id="ACE_UM_CRSE_DERIVED_UM_GROUPBOX7$0" role="presentation" width="791"> <tbody> <tr> <td align="left" valign="top"> <table> <tbody> <tr> <td align="left"><p>The aims of this course are to:</p><p>(i) enable students to understand recent applied literature in core journals of economics and finance which uses time series methods;</p><p>(ii) prepare students for possible later research involving time series.</p></td> </tr> </tbody> </table> </td> </tr> </tbody></table>
<table border="0" cellpadding="0" cellspacing="0" cols="6" id="ACE_UM_CRSE_DERIVED_UM_GROUPBOX7$0" role="presentation" width="791"> <tbody> <tr> <td align="left" valign="top"> <table> <tbody> <tr> <td align="left"><p>The aims of this course are to:</p><p>(i) enable students to understand recent applied literature in core journals of economics and finance which uses time series methods;</p><p>(ii) prepare students for possible later research involving time series.</p></td> </tr> </tbody> </table> </td> </tr> </tbody></table>
<p>The aims of this course are to:</p><p>(i) enable students to understand recent applied literature in core journals of economics and finance which uses time series methods;</p><p>(ii) prepare students for possible later research involving time series.</p>
<p>At the end of this course students should be able to:</p><p>(i) derive the properties of simple stationary and nonstationary time series;</p><p>(ii) understand and apply univariate unit root tests;</p><p>(iii) employ VAR models to analyse both stationary and nonstationary macroeconomic time series;</p><p>(iv) critically read applied studies which use the Johansen cointegration methodology;</p><p>(v) understand how time-varying models may capture the changing properties of macroeconomic variables over business cycle expansions and contractions;</p><p>(vii) use econometric software packages to apply the above methods to observed macroeconomic data..</p>
<p>Provisional</p><ol><li>Review of univariate time series processes<br/>Properties of stationary ARMA processes; types of nonstationarity; diagnostic tests</li><li>Unit root tests<br/>Properties of integrated processes; Augmented Dickey-Fuller tests; treatment of deterministic terms</li><li>VAR models<br/>Properties of stationary VAR models; diagnostic tests for VAR models; structural VAR models; impulse response functions</li><li>Cointegration<br/>Cointegration in VAR models; error-correction representation; Johansen methodology</li><li>Time-varying models<br/>Introduction to nonlinear models; testing for structural breaks; applications to business cycle modelling<br/> </li></ol>
<P>Lectures and Tutorials</P>
0
Other
100%
<p>Final examination: 65%<br />
Assessed coursework: 25% (2 exercises weighted at 10% and 15%)<br />
Mid-term test: 10%</p>
ECON61001
Econometric Methods
Pre-Requisite
Compulsory
ECON61001 is a Pre-Requisite for ECON60522
Y
<p>Handouts will be provided for most topics.</p><p><em>Preliminary Reading:</em></p><p>Enders, Walter: <em>Applied Econometric Time Series</em>, 2nd ed., Wiley 2004.</p><p>Harris, Richard and Sollis, Richard: <em>Applied Time Series Modelling and Forecasting</em>, Wiley 2003.</p>
Lectures
20
Tutorials
9
0
121