EC902: Time Series – Revision lecture
Subham Kailthya
University of Warwick
April 2022
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Outline
Exam structure
General tips on test taking
Discuss key concepts
Take questions from the audience
This lecture will be recorded in lecture capture
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Exam Structure (1/2)
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Exam structure (2/2)
Section A (Answer all questions)
3 questions × 10 marks each (Term 1)
Section B (Answer one of two)
1 question × 20 marks each (Term 1)
Section C (Answer all questions)
3 questions × 10 marks each (time series)
Section D (Answer one of two)
1 question × 20 marks each (time series)
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General tips
Attempt the section you are more comfortable first
Questions will have sub-parts
pay attention to how marks are allocated between sub-parts
spend time and space wisely
Number your answers correctly
Even if you are unsure about the answer to a specific question, write
something generic – do not submit a blank answer!
Sections C and D have options to choose from
if you answer both the options, tell us which question you want to be
marked on.
Read all your questions carefully. Your answer should address the
specific question.
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Exam resources
Departmental resources [here]
AEP
Mathtype/ Equation editor
Typing Latex in Word
Inserting images/ symbols
Familiarise yourself with mitigating circumstances [link]
(e.g. being ill, fire alarm goes off, wifi crashes, who to contact, etc.)
Note:
Do not copy and paste your notes! (plagiarism, academic
misconduct)
rewrite definitions in your own words
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Advice and Feedback – Term 3
Monday, 11am to 1pm
book an appointment [here]
in-person meetings
email me separately if you want to meet online or if these times do
not work for you.
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Topics (1/2)
1. Univariate time series models
Introduction: time series as a stochastic process, stationarity, weak
dependence, ARMA
Definitions
Stationary ARMA processes
Theoretical properties: mean, variance, autocovariances and
autocorrelations
Empirical modelling – Box and Jenkins methodology: identification,
estimation, diagnostic testing
Forecasting with ARMA models: point forecast, forecast confidence
intervals
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Topics (2/2)
2. Dynamic regression models with stationary variables
Distributed lag (DL) models
Autoregressive distributed lag (ADL) models
Granger causality tests
VAR models
3. Nonstationarity and cointegration
Deterministic and stochastic trends (properties)
Concept of integrated series: I(0), I(1), I(2), I(d)
Testing for non-stationarity – DF, ADF
Spurious regressions, cointegration and error correction models
4. VAR models (concept is sufficient – no derivations)
5. Analysis of panel data (concept is sufficient – no derivations)
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Textbooks
A textbook treatment will deepen your understanding and allow you to
frame your answer correctly.
Wooldridge,J. M. (2009) Introductory Econometrics: A modern
approach, 4th Edition.
Gujarati D.N. and D.C. Porter, (2009). Basic Econometrics, 5th
Edition
Verbeek, Marno. (2012) A Guide to Modern Econometrics, 4th
Edition
Stock J.H. and M.W. Watson (2012) Introduction to Econometrics,
3rd Edition, Part Four: chapters 14-16.
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Past exam paper
Discussion of the 2021 exam paper.
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