Econometrics II

Time Series Analysis

Universidad de Chile
Spring 2015

Instructor: Jorge Bravo T., email: jbravot@fen.uchile.cl

O¢ ce Hours: By appointment
Time and Location: T, Th 8:00 - 9:30, P-303
Teaching assistant: Pedro Cayul, email: pcayul@fen.uchile.cl

Description of the Course

This course introduces a variety of statistical models for time series and covers the main methods for
analyzing these models, with an emphasis on practical skills. The course starts by introducing basic concepts
using linear univariate models and progresses to more complicated multivariate models. Autoregressive
Moving-Average models, VARs and structural VARs are covered. An introduction to non-stationary time
series analysis is given. Time permitting we cover additional topics including volatility models, dynamic panel
models, Wold and Spectral representations. This is an advanced graduate level course. A solid background
in multivariate statistics, probability and econometrics is assumed.

Requirements

There will four to …ve problem sets, a midterm exam and a …nal. The problem sets will be done in
groups of 2. Each group will turn in one write-up. Collaboration with others groups is not allowed. The
assignments will count towards the grade as follows:

Problem sets 30%

Midterm 30%
Final 40%

Midterm exam: Thursday, September 3.

Final: Wednesday, November 25.

Course Outline

1. Introduction

(a) What is a time series?

(b) Why do we need time series econometrics?
(c) Time Series and their characteristics and components
(d) Basic concepts in time series

2. Univariate Time Series

(a) Stationarity, ergodicity and time dependence.

(b) Autoregressive (AR) models
(c) Moving-Average (MA) models
(d) Autoregressive Moving-Average (ARMA) models
(e) Estimation of ARMA Models
(f) Unit roots
(g) Formal tests for unit root
(h) Autoregressive Integrated Moving-Average (ARIMA) models
 (i) Model identi…cation
(j) Forecasting

3. Multiple Time Series Analysis

(a) Vector Autoregression (VAR) Models

(b) Granger causality
(c) Impulse response analysis
(d) Forecast error variance decomposition
(e) Cointegration and spurious regression
(f) Engle-Granger two-step cointegration analysis
(g) Cointegration analysis based on dynamic models (ADL or ECM models)

4. Optional topics in time series

(a) ARCH and GARCH models

(b) Dynamic panel models
(c) Stationarity and Wold representation
(d) Spectral representation

Recommended Texts

The following list is intended mostly as a reference into some of the literature on time series models.
Additional reading of empirical papers can be added according to the topics that we cover.

1. Box G, G. Jenkins and G. Reinsel (2008) Time Series Analysis, Forecasting and Control. Fourth
Edition. John Wiley & Sons.
2. Enders W. (2010), Applied Econometric Time Series, New York: Wiley. Third Edition.
3. Hamilton, J. (1994), Time Series Analysis, Princeton: Princeton University Press.
4. Lütkepohl, H. (2007), New Introduction to Multiple Time Series Analysis, Springer Verlag: Heidelberg.