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EC402 Time Series, Lent Term 2019

Instructor: Tatiana Komarova, x3707, office 32L 4.24


Lectures in weeks 1-4, LT: Mon 1000h–1200h
Lectures in weeks 1-3: Mon 1300h–1400h
Office hours: Mon 15:30-16:30 in 32L 4.24

Synopsis: This is a course in time series econometrics. The approach is relatively


formal and technical. However, the course is also driven by issues arising from
real-data examples. It encourages hands-on calculations by the student using the
software package R.

The course is concerned with detecting and discovering regularities, and


modelling and interpreting dynamics in time series data, more than it is with
statistical inference or with disentangling causality. (This is not to say that I
consider these latter unimportant, just that you likely get enough of that
elsewhere.) The course therefore needs to develop the underlying tools that times
series econometricians use but that are often left implicit in the literature. The
course is entirely self-contained in that, apart from basic mathematics,
everything a student needs to do well on the exam will be found in the lecture
slides and exercises. Of course, to advance in their own research students will
need to push more and build on what's available here.

A couple of useful references students might want to look at are

 Hamilton, James D. 1997. Time Series Analysis. Princeton: Princeton


University Press.
 Sargent, Thomas J. 1987. Macroeconomic Theory. London: Academic
Press. (Chapter IX for Difference Equations and Lag Operators; Chapter
XI for Linear Stochastic Difference Equations)

If you already have or prefer a different reference textbook, that's fine too. The
ideas are classical and uncontroversial, although different notations and
sometimes (inessentially) different normalisations will be used.

Additional readings (entirely optional)

A good reference from a more statistical viewpoint is Shumway and Stoffer


(2017, fourth edition), Time Series Analysis and its Applications, with R
Examples, Springer.

A nice sketch is Cochrane (2005), Time Series for Macroeconomics and


Finance,
A broad text is Martin, Hurn, and Harris (2013), Econometric Modelling with
Time Series: Specification, Estimation and Testing, Cambridge University
Press.

Just for a sense of aesthetics for when you present findings (something we
hardly ever discuss in economics) quickly browse through:

 Tufte, Edward. 2001. The Visual Display of Quantitative Information.


Second Edition. New Haven: Graphics Press.

If you are completely new to time series

Time series chapters in Stock and Watson “Introduction to Econometrics” are a


very enjoyable read.

There are also nicetime series chapters in Maddala and Lahiri “Introduction to
Econometrics”.

If you did your undergraduate studies not at LSE, then it would be a good idea
to check out Dr Schafgans' lecture slides on time series from the Ec221 course
(on the Ec221 Moodle page, Lent Term).