Module Details

The information contained in this module specification was correct at the time of publication but may be subject to change, either during the session because of unforeseen circumstances, or following review of the module at the end of the session. Queries about the module should be directed to the member of staff with responsibility for the module.
Title TIME SERIES AND ITS APPLICATIONS IN ECONOMICS
Code MATH372
Coordinator Dr K Zychaluk
Mathematical Sciences
Kamila.Zychaluk@liverpool.ac.uk
Year CATS Level Semester CATS Value
Session 2020-21 Level 6 FHEQ Second Semester 15

Aims

1. Give students an understanding of econometric time-series methodology.

2. Give students an understanding of important extensions include volatility models of financial time-series and multivariate (multiple equations) models such as vector error correction and related co-integrating error correction models.

3. Present interesting applications that econometric time-series methodology can be applied.


Learning Outcomes

(LO1) To be able to specify and demonstrate the distributional characteristics of a range of time series models

(LO2) To be able to estimate appropriate models of financial and economic time series for the purposes of forecasting and inference

(LO3) To be able to apply univariate and multivariate model selection and evaluation methods

(LO4) To be able to accommodate conditional heteroskedasticity, unit roots and cointegration in economic and financial time series analysis

(S1) Problem solving skills


Syllabus

 

Univariate Time Series Models Introduction to Time Series Analysis General ARMA Processes Stationarity and Unit Roots Testing for Unit Roots Estimation of ARMA models Model Selection Predicting with ARMA Models Autoregressive Conditional Heteroskedasticity Multivariate Time Series Models Dynamic Models with Stationary Variables Models with Nonstationary Variables Vector Autoregressive Models Cointegration: the Multivariate Case


Recommended Texts

Reading lists are managed at readinglists.liverpool.ac.uk. Click here to access the reading lists for this module.

Pre-requisites before taking this module (other modules and/or general educational/academic requirements):

MATH101 Calculus I; MATH102 CALCULUS II; MATH162 INTRODUCTION TO STATISTICS; MATH263 Statistical Theory and Methods I; MATH103 Introduction to Linear Algebra 

Co-requisite modules:

 

Modules for which this module is a pre-requisite:

 

Programme(s) (including Year of Study) to which this module is available on a required basis:

 

Programme(s) (including Year of Study) to which this module is available on an optional basis:

 

Assessment

EXAM Duration Timing
(Semester)
% of
final
mark
Resit/resubmission
opportunity
Penalty for late
submission
Notes
Assessment 1 Non-standard penalty applies for late submission - This is an anonymous assessment. Assessment Schedule (When) :2  2.5 hours    100       
CONTINUOUS Duration Timing
(Semester)
% of
final
mark
Resit/resubmission
opportunity
Penalty for late
submission
Notes