Updated A.Y. 2018-2019
University of Rome – Tor Vergata
Quantitative Methods III
Spring term 2018-2019
Barbara Guardabascio (firstname.lastname@example.org)
The quantitative estimation and evaluation of time series is an essential feature of the study and application of economics. We will provide an intuitive treatment of some elements of basic time series econometric in conjunction with the practical application of the methods to economic issues, in particular we emphasise the measurement and interpretation of empirical results using time series data. Hence we choose the title Introduction to Time Series Econometrics. A strong performance in this module is very important for students planning to take the econometrics or dissertation modules in final year.
The aim of the module is to familiarise you with the techniques economists use to measure economic relationships in order to test hypotheses, forecast, or assess the impact of economic policy. This is a very challenging field of applied economics.
Assessment is through final written examination of two-hour. The examination will consist of two questions with several points to be answered and is designed to test your analytical skills and your interpretation and understanding of relevant issues that arise in time series work.
Module Learning Outcomes
By the end of the module you should:
1) Have a critical understanding of the nature of economic time series;
2) Be able to abstract the essential features of an econometric issue or problem;
3) Be able to perform and critically evaluate model adequacy using relevant diagnostic and specification tests;
4) Have knowledge of different types of dynamic empirical model and their important role in the analysis of time series econometrics.
The module will cover the following topics:
Part I – Introduction to time series
Univariate Stationary models.
Multivariate stationary models.
Part II – Non stationary time series models:
Univariate nonstationary models.
Multivariate nonstationary models.
The main textbook of the module is:
Jeffrey M. Wooldridge (2013), “Introductory Econometrics: A modern approach”, Fifth Edition, Cengage Learning.