UCL - Econometrics of Time Series

[ECON2031]

[30h + 12h] 5 credits

Teacher(s): Luc Bauwens

Language: French

Level: Second

Aims
Main themes
Content and teaching methods
Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Aims

The objective is to train students to use econometric methods for modelling and predicting economic and finan-cial time series. The emphasis is put on applications in macroeconomics and finance, and to the extent necessary for that, on understanding the methods and models.

Main themes

Time series analysis requires to understand the notions of stationarity and non-stationarity, which will be pre-sented in an intuitive and detailed way by the use of examples of macroeconomic and financial time series. Then, econometric models adapted to model such series will be explained and applied. The theme of prediction is obviously very important for time series and will be covered for each type of model. Although the course is focused on the univariate approach, an introduction to multivariate aspects is foreseen. Inference methods (like ordinary least squares and maximum likelihood) are taught or reminded in the context of the models that require them.

Content and teaching methods

Contents
Regression analysis applied to time series (properties of OLS, autocorrelation)
Stationarity and non-stationarity of economic and financial time series
Autoregressive and moving average (ARMA) models
Modelling and predicting trends and seasonal movements
Unit root and cointegration tests
Volatility modelling for economic and financial time series : autoregreesive conditional heteroskedasticity (GARCH) and applications
Inference by the maximum likelihood method (application to ARMA and GARCH models)
Introduction to vector autoregressive (VAR) models
Use of an econometric software and applications

Methods
Lectures, application exercices (using a software), article reading and reproduction of results

Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Obligatory econometrics course of the " Baccalauréat en sciences économiques et de gestion ", or an equivalent course.
Oral or written exam. A part of the exam is traditional (in the form of questions on the topics taught) and another part is done in a computer room and aims at evaluating the capacity to apply the models and methods. A part of the final grade can be reserved for assignments to be done dur-ing the term.
Some chapters of the book by Wooldridge (Introductory Econometrics), possibly augmented by lecture notes.