Introduction to Time-Series Econometrics

Maria Kyriacou - University of Kent

1. Introduction to Econometrics

2. Hypothesis Testing

3. The Structure of Economic Data: Time-Series vs Cross Sectional and Static vs Dynamic Time-Series Models

4. Spurious Correlations, Trending Variables, Seasonality in Economic Time Series

5. Unbiasedness vs Consistency, (Covariance & Strict) Stationarity,
Weak Dependence,
The Lag Operator, MA(1), AR(1) - ARMA Processes

6. Consequences with Non-Stationarity, Stochastic Trends with Unit Root, Random Walk Model, Testing for a Unit-Root (Dickey-Fuller Test)

7. Augmented Dickey-Fuller Test, Order of Integration, Structural Breaks

8. Heteroskedasticity in Time-Series

9. Serial Correlation

10. Forecasting