Checking date: 10/05/2022


Course: 2022/2023

Econometrics I: Time Series
(15631)
Study: Master in Development and Economic Growth (255)
EPC


Coordinating teacher: GONZALO MUÑOZ, JESUS

Department assigned to the subject: Department of Economics

Type: Compulsory
ECTS Credits: 3.0 ECTS

Course:
Semester:




Requirements (Subjects that are assumed to be known)
Introduction to Econometrics
Objectives
- Understanding the main characteristics of time series: trend, seasonality, stationary temporal dependence and innovations. - Models that can be formulated for economic and historical time series: a) deterministic univariate and ARIMA; b) dynamic single equation with exogenous explanatory variables; c) multi-equation (VAR) on stationary transformations of the series; d) single and multi-equation models on series with cointegrating relationships. - Methodology for the construction of previous models. - Learn the application of the above on real economic and historical series, both Spanish and European, using specific software.
Skills and learning outcomes
Description of contents: programme
- Description of the empirical characteristics of time series. - Transformations to stationarity - The autocorrelation function - Multiplicative seasonal ARIMA models: properties - Estimation, diagnosis and forecasting - Multivariate time series models - Multivariate models with exogenous variables: single equation models - Cointegration
Learning activities and methodology
Acquisition of theoretical knowledge through: - Lectures, where the fundamental theoretical and practical concepts that students must acquire are developed. For this, students will have in advance a collection of notes and exercises to prepare the classes. Likewise, reference literature, complementary and additional to the areas covered in class, will be made available to students to deepen those subjects in which they are most interested. - Resolution of exercises and case studies by the teacher, encouraging the active participation of students in solving them (both individually and in teams). These exercises will be solved during the lectures. Acquisition of abilities and skills through: - Throughout the course, students will attend computer classes and will be introduced to computer programming tools applied to solve problems directly related to the contents of the course. - Resolution by the student of the exercises proposed by the teacher to be delivered throughout the year, which will serve to assess their knowledge and acquire the necessary skills. - Elaboration of an empirical project on VAR models.
Assessment System

The course syllabus may change due academic events or other reasons.


More information: http://www.eco.uc3m.es/~cavelas/ and http://www.eco.uc3m.es/~jgonzalo/teaching/timeseriesMA.html