EC306
Sam Astill
Handout 1
1
Course Outline & Reading
The module will cover the econometrics of time series and will include:
a brief review of some matrix algebra and maximum likelihood estimation
the rationale for dynamic models, and simple time-serie

EC306
Sam Astill
Handout 2
1
Dynamic adjustment and time-series models
Economic theory often suggests relationships of the form:
y = + x
Essentially timeless, the time unit of observation is seldom dened (hourly, daily, weekly, etc?)
Real economic time se

EC306
Sam Astill
Properties of ARMA Processes
Innite MA Representation of an AR(1)
Consider the AR(1) process
yt = yt1 + ut
Using the lag operator we can write this as
yt = Lyt + ut
(1 L)yt = ut
or
yt =
1
ut
(1 L)
If | < 1 we can write
1
= 1 + L + 2 L2 +

UNIVERSITY OF WARWICK
DEPARTMENT OF ECONOMICS
ECONOMETRICS 2 (EC306)
Autumn Term 2013-14
Sam Astill and Alex Karalis Isaac
Assessment
Your completed assignment should be submitted electronically through the e-submission
facility by 23:55 on Monday 13th Ja

Econometrics 2 Time-Series Econometrics. EC306
Sam Astill
Handout 4
Univariate time-series model selection and forecasting
Johnston and DiNardo, ch.7
The Box-Jenkins approach
Specification strategy for ARMA models:
1. inspection of estimated ACF and PACF,

1
Spurious regressions versus cointegration
Spurious regressions: when I (1) unrelated
economic time series may appear to be related using conventional testing procedures.
yt = yt
xt = xt
1 + vt where vt
iidN 0;
2
v
+ "t where "t
iidN 0;
2
"
1
:
E [vt"s]

Models of Conditional Variance II:
Forecasting the variance and forecasting the mean
EC306. Week 9, 2013
Alex Karalis Isaac
a.karalis-isaac@warwick.ac.uk
1
Volatility models and forecasting
Verbeek 8.10.2, Harris and Sollis, Ch. 8.
Evaluating econometric

Introduction to Time Variation & Non linearity
EC306. Week 10, 2013
Alex Karalis Isaac
a.karalis-isaac@warwick.ac.uk
1
Recursive least squares
Consider a simple time-series process
yt = g + yt1 +
t
To say anything about this process, we need some assumpti

EC3060
THE UNIVERSITY OF WARWICK
Summer Examination 2009/10
Econometrics 2
Time Allowed: 3 Hours, plus 15 minutes reading time during which notes may be made (on
the question paper) BUT NO ANSWERS MAY BE BEGUN.
Answer ANY FOUR QUESTIONS.
Statistical

Econometrics 2 - Time-series Econometrics. EC306. Michael P Clements. Exercise 3
This exercise is based on the money example discussed in Handout 6 (STATA datale money.dta). It
should help you to understand multivariate modelling and cointegration analysi

EC306 : Econometrics 2
Sam Astill and Alex Karalis Isaac
Exercise 2 (Computer-based)
Unit root testing, estimation of ARMA models and forecasting
The file cons_income.dta is a STATA data file with data on real personal disposable income, rpdi,
and real pe

EC3060
THE UNIVERSITY OF WARWICK
Summer Examination 2010/11
Econometrics 2
Time Allowed: 3 Hours, plus 15 minutes reading time during which notes may be made (on
the question paper) BUT NO ANSWERS MAY BE BEGUN.
Answer ANY FOUR QUESTIONS.
Statistical table