ADVANCED TIME-SERIES ECONOMETRICS 872

Course Outline 2015

Department of Economics

Aims and objectives

This course is aimed at preparing you for empirical economic research using time series data. To that end we
will cover a number of advanced topics, as well as review the basic theoretical techniques and results that
underpin the more advanced work.

Having completed this course a student should understand the problems associated with empirical research
with time series data in economics and some of the leading formal paradigms (restricted to the standard
frequentist ones) developed to address those problems. The emphasis in the two parts will fall, respectively,
on the theoretical structure and the practical application of various techniques.

Part 1 will provide the student will all the theoretical underpinnings of the standard building block models
used in modern time-series econometrics as well as practical illustrations of how the methods are applied and
the results interpreted. The focus will be on the analytic structure and how this translates to the applications
and tests performed in empirical literature, hence the practical illustrations will be of a somewhat introductory
nature.

Part 2 will provide the student with an in depth coverage of a selection of applications of the econometric
methods to real world empirical research. The theoretical structure from part 1 will be used and
complemented by the practicalities of data work. A key link between the theoretical and practical sides will be
provided by studying how the correct method for an economic question is selected and motivated, and how
the empirical analysis is presented, and defended or critiqued.

Convenor: Gideon du Rand (gideondurand@sun.ac.za)

Lecturers: Gideon du Rand

Part 1: Time Series Econometrics Theory and Introductory Applications
Rm 503 C.G.W. Schumann Building
Tel: 021 808 2241

Harri Kemp (jhkemp@sun.ac.za)

Part 2: Advanced/In Depth Applications
Bureau for Economic Research
Old Conserve Building
Tel: 021 887 2810 (BER)

Prerequisites
This course is intended for students who have shown proficiency in mathematical and statistical reasoning
and will presume basic knowledge. Admission to the course is therefore subject to obtaining certain minima
in graduate mathematical and econometric courses.

We will mostly work in terms of matrix algebra representations of all multivariate methods. While we will
carefully develop the notation and techniques we need within the course, the onus rests on the student to
ensure mastery of these skills by diligent practice.
 Advanced Time Series Econometrics 872 Course Outline 2015

Assessment
The course assessment will consist of one exam, written after part 1 of the course, and a research project on a
topic of the students choice that employs time-series econometric methods to an economic problem.

Date Weight in Final Mark

Written Exam (on Part 1 only) September/October 2015 50%

15 November 2015
(for graduation in December 2015)
Research Project 50%
20 December 2015
(for graduation in March 2016)

There will be several problem sets and practical tutorials, but these will not be for submission and grade
they are to be seen as opportunities to obtain practice on the work covered to ensure mastery. The onus rests
entirely on the student for participating in these tutorials and bringing problems encountered to the attention
of the lecturer involved.

Research Project
To demonstrate their mastery of the work covered, students must write a formal paper on applied empirical
project using the methods studied in the course (or others that are related, should the student wish to), with
the intent that the paper should be similar to formal journal article: i.e. a clear, well stated economic problem,
detailed discussions of the data used, motivation of methods and evaluations of answers.

Applying time series methods correctly to effectively illuminate empirical questions is a skill that cannot be
fully taught in a class-room environment. It takes personal interest, time and trial-and-error to learn how to
do this well. The projects are therefore intended as learning-by-doing opportunities where the students are
expected actively seek guidance of the instructors when problems are encountered on the way. This will
require systematic planning and effort, and several consultations with the instructors.

To aid the development of the research ideas, each student will give a short presentation on their proposed
research in the week of 14 September 2015

Max words: 8000 (strictly enforced)

Textbooks
The first part of the course will follow the prescribed text of the course closely (as well as referring to some
journal articles)

Enders, Walter (2010) Applied Econometric Time Series, 3rd Edition.

John Wiley and Sons, Hoboken.

A very complete reference text is advisable for students who wish to specialise in time series econometrics,
particularly in theoretical analyses or for the development of new methods:

Hamilton, James D. (1992) Time Series Analysis. Princeton University Press

The second part of the course will follow journal articles that will be specified by the instructor.

2
 Advanced Time Series Econometrics 872 Course Outline 2015

Lecture topics in brief:

Number of
Topic: Preliminary Dates:
Sessions:
Part 1: Time Series Econometrics: Theory and Introductory Applications
1. Difference Equations and their
20 24 July 2
solutions
2. Univariate Stationary Time
27 31 July 2
Series Models
3. Multivariate Stationary Time
3 14 August 4
Series Models
4. Non-Stationary Time Series
17 28 August 4
Models
5. Non-linear Time Series Models
31 August 4 September 2

Recess 5 13 September
Research Project Presentations 14 18 September 2
Part 2: Advanced/In Depth Applications
(The exact projects and sequence to be specified during the first quarter of the
course)
1. Autoregressive Distributed Lag
2
application
2. Stationary Multivariate Time
2
Series application
3. Non-stationary Multivariate
2
Time Series application
4. TBA Forecasting and/or
2
Non-linear model application