ECON 511 (Fall 2004)

Time series econometrics: Theory and applications

Instructor

T.A.

Time and place

Tuesday 6-9 PM in 171 Willard

Objectives and grading

The objective of this course is to prepare the Ph.D. students in economics for the study of empirical macroeconomics, by providing a rigorous introduction to the theory and practice of time series analysis (univariate as well as multivariate time series, and stationary as well as non-stationary time series).

Each two weeks a number of theoretical and/or empirical exercises will be assigned as homework.

Apart from the first two weeks, I will teach the econometric theory from 6-7:15 PM and the applications from 7:30-8:45 PM. The latter will be done by using EasyReg International.

The final grade will be determined by the homework (10%), a written closed-book mid-term exam (30%), a written closed-book final exam (30%), and an empirical term paper (30%). The final exam will cover the material of the mid-term exam as well. If you score higher on the final exam than on the mid-term exam, the latter score will be ignored, and the final exam will count for 60% of the final grade. The term paper is due on the final exam date.

Prerequisite level

ECON 501 and ECON 510, or equivalent level.

Textbooks

• [B] Bierens, H.J. (2004), Introduction to the Mathematical and Statistical Foundations of Econometrics, Cambridge University Press (Chapters 7 and 8 only).
• [H] Hamilton, James D. (1994) Time Series Analysis, Princeton University Press

Topics

1. Stationary time series and limit laws [B: Ch. 7]
2. Difference equations [H: Ch. 1]
3. Lag operators [H: Ch. 2]
4. Dynamic regression models [H: Ch. 8]
5. Stationary ARMA processes [H: Ch. 3]
6. Forecasting [H: Ch. 4; Lecture notes]
7. ARCH and GARCH [H: Ch. 21]
8. Maximum Likelihood [H: Ch. 5; B: Ch. 8]
9. Vector autoregressions and innovation response analysis [Lecture notes; Ch. 11]
10. Unit roots [Lecture notes; Ch. 15+17]
11. Spurious regression [Lecture notes; H: Ch. 18]
12. Cointegration [Lecture notes; H: Ch. 19-20]

Disability Message

The Pennsylvania State University encourages qualified persons with disabilities to participate in its programs and activities. If you anticipate needing any type of accommodation in this course or have questions about physical access, please tell the instructor as soon as possible.