Econometrics II
Course content
Econometrics II is the final course in the compulsory BSc. course sequence in statistics and econometrics. The course Econometrics I focuses on linear regression and instrumental variables estimation of the linear regression model for cross‐sectional data. The current course discusses dependent observations and gives a detailed account of the econometric analysis of time series data. Econometrics II also goes into more detail with the estimation principles and the likelihood analysis, and it presents the generalized method of moments. Concepts such as stationarity, unit roots, cointegration and error correction, and autoregressive conditional heteroskedasticity (ARCH) are introduced. As an integral part of the course, students are introduced to statistical tools for analysing time series data and students will learn how to carry out, present, and discuss an empirical analysis based on economic time series on their own.
The outline of the course is the following:
 The linear regression model for time series data.
 Dynamic models for stationary time series.
 Unit root testing.
 Dynamic models for time series with unit roots. Cointegration and error correction.
 Models with timevarying conditional volatility.
 Generalized method of moments.
Bacheloruddannelsen i økonomi – Obligatorisk fag på 3. år
The Danish BSc programme in Economics  mandatory course at the 3^{rd} year
After completing the course, the student should be able to demonstrate the following:
Knowledge:
 Give an account for the important differences between (independent) crosssectional data, analyzed in detail in Econometrics I, and time series data.
 Give a precise definition and interpretation of the concept of stationarity of time series data, and precisely describe the conditions under which the results from the linear regression analysis for crosssectional data can be used also on time series data.
 Give an account for the motivation and intuition for different principles for estimation and inference – specifically the method of ordinary least squares (OLS), method of moments (MM), maximum likelihood (ML), and generalizes method of moments (GMM) – and discuss relative advantages and drawbacks.
 Give an account for the sufficient conditions for consistent estimation and valid inference in the statistical model.
 Give a precise definition of the concept of unit roots, explain the consequences of unit roots in economic time series data, and interpret statistical models for stationary and nonstationary time series.
 Give a precise definition and interpretation of the concepts cointegration and error correction, and give an account of statistical models based on cointegration and error correction.
 Give a precise definition and interpretation of the concept of autoregressive conditional heteroskedasticity (ARCH), and give an account of statistical models with ARCH in financial time series.
Skills:
 Identify the characteristic properties of a given data set of economic time series and suggest and construct relevant statistical models.
 Derive estimators of the statistical model’s parameters using the principles of method of moments (MM) and maximum likelihood (ML). Estimate and interpret the parameters.
 Construct misspecification tests and analyze to what extent a statistical model is congruent with the data.
 Construct statistical tests for unit roots in economic time series.
 Construct statistical tests for cointegration and error correction in economic time series.
 Formulate economic questions as hypotheses on the parameters of the statistical model and test these hypotheses.
 Use statistical and econometric software to carry out an empirical analysis.
 Present a statistical model and empirical results in a clear and concise way. This includes using statistic and econometric terms in a correct way, giving statistically sound and economically relevant interpretations of statistical results, and presenting results in a way so that they can be reproduced by others.
Competencies:
 Choose the relevant statistical model given the characteristics of a given data set of economic time series and apply the statistical tools to carry out, present, and discuss an empirical analysis and test specific economic hypotheses.
 Read research papers containing applied econometric time series analyses.
Activities to challenge and activate students, such as Socrative
quizzes and peerdiscussions, are an important part of the
lectures. Students are required to prepare before lectures by
reading, watching online videos, and completing online quizzes.
Finally, peer feedback is used to provide detailed feedback on the
assignments.
During the semester there are five written assignments covering
each of the major topics in the course. After handing in each
assignment students give peer feedback on each other’s assignments
through the peergrade.io platform.
The exercise classes will be performed through workshops with all
students together with the teaching assistants and the lecturer.
Only few sessions may be in separate classes.
Marno Verbeek: A Guide to Modern Econometrics, 4th Ed., Wiley. ISBN 9781119951674.
 Chapter 13 (cursory reading) p. 193 (93*).
 Section 4.14.5 (cursory reading) 94112 (18*).
 Section 4.64.11: p. 112136 (25).
 Chapter 56 p. 137205 (69).
 Section 7.1.17.1.6 p. 206217 (12).
 Section 7.3 p. 231238 (8).
 Chapter 8 p. 278337 (59).
 Section 9.19.3 p. 338350 (13).
 Section 9.49.7 (cursory reading) p. 350371 (22*)
Lecture notes:
1. Introduction to Time Series (13).
2. Linear Regression with Time Series Data (22).
3. Introduction to Vector and Matrix Differentiation (cursory reading) (6*).
4. Dynamic Models for Stationary Time Series (28).
5. NonStationary Time Series and Unit Root Testing (21).
6. Cointegration and Common Trends (31).
7. Modeling Volatility in Financial Time Series: An introduction to ARCH (16).
8. Generalized Method of Moments Estimation (31).
The course requires knowledge equivalent to that achieved in 'Probability Theory and Statistics' and Econometrics I.
Schedule:
Autumn 2018:
2 to 4 hour lectures each week from week 36 to 50 (except week 42).
2 to 4 hours of workshops each week from week 36/37 to 50 (except
week 42).
Skema for BA kan ses på
https://intranet.ku.dk/polit_ba/undervisning/LektionsplanE18/skemaer/Sider/default.aspx
Timetable and venue:
To see the time and location of lectures and exercise classes
please press the link/links under "Se skema" (See
schedule) at the right side of this page (E means Autumn, F means
Spring). The lectures is shown in each link.
You can find the similar information partly in English at
https://skema.ku.dk/ku1819/dk/module.htm
Select Department: “2200Økonomisk Institut” (and wait for
respond)
Select Module:: “2200E18; [Name of course]” or “2200F19; [Name
of course]”
Select Report Type: “List – Weekdays”
Select Period: “Efterår/Autumn – Weeks 315” or “Forår/Spring –
Week 530”
Press: “ View Timetable”
Please be aware of the rules regarding exercise classes:
 The schedule of the exercise classes is only a preplanned
schedule and can be changed until just before the teaching begins
without the participants accept. If this happens it will be
informed at the intranet or can be seen in the app myUCPH and at
the above link
 That the study administration allocates the students to the
exercise classes according to the principles stated in the KUnet.
 If too many students have wished a specific class, students will
be registered randomly at another class.
 It is not possible to change class after the second registration
period has expired.
 If there is not enough registered students or available teachers,
the exercise classes may be jointed.
 The student is not allowed to participate in an exercise class
not registered, because the room has only seats for the amount of
registered student.
 The teacher of the exercise class cannot correct assignments from
other students than the registered students in the exercise class
except with group work across the classes.
 That all exercise classes will be taught in English.
Spring 2019:
2x2hour lectures each week from week 6 to 21 (except holidays).
2 hours of exercise classes each week from week 6/7 to 21 (except
holidays).
The Schedule will be available November 7, 2018
For enrolled students. More information about registration, schedule, rules, courses etc. can be found at the intranet for Bachelor students (Danish).
Registration and information for foreign students not enrolled please find more information at Study Economics.
For enkelfagsstuderende sker tilmelding via Åbent Universitet og Merit.
Læs om uddannelsen og studieordningen på BA uddannelsen i økonomi.
 ECTS
 7,5 ECTS
 Type of assessment

Portfolio, 7 daysThe final exam is a written assignment consisting of four parts. The first three parts are based on three of the assignments worked with during the semester. Students can use the peer feedback they receive during the semester to improve these assignments for the final exam. The forth part of the exam is a new assignment.
The written exam can be handed in individually or by groups of maximum three students. The plagiarism rules must be complied and please be aware of the rules for cowriting assignments. The exam is given in English and must be answered in English. The final exam must be uploaded to the Digital Exam portal in one file.
____  Aid
 All aids allowed
____
 Marking scale
 7point grading scale
 Censorship form
 No external censorship
___
Criteria for exam assessment
Students are assessed on the extent to which they master the learning outcome for the course.
To receive the top grade, the student must with no or only a few minor weaknesses be able to demonstrate an excellent performance displaying a high level of command of all aspects of the relevant material and can make use of the knowledge, skills and competencies listed in the learning outcomes.
Single subject courses (day)
 Category
 Hours
 Lectures
 56
 Class Exercises
 28
 Preparation
 102
 Exam
 20
 English
 206
Kursusinformation
 Language
 English
 Course number
 AØKA08007U
 ECTS
 7,5 ECTS
 Programme level
 Bachelor
 Duration

1 semester
 Price

Information about admission and tuition fee: Master and Exchange Programme, credit students and guest students (Open University)
 Schedulegroup

and venue:
Go to "Remarks".
Exam and resits: Go to "Exam".  Studyboard
 Department of Economics, Study Council
 Department of Economics
Course Coordinator
 Morten Nyboe Tabor
(18797b7e80717a3a7a856e7b713a806d6e7b7e4c716f7b7a3a77813a7077)
Autumn
Teacher
Lectures: See ‘Course responsibles’
Autumn 2018:
Exercise classes is NOT choosable in the registration periods as
one of the lectures will be used as exerciseclass. See
'Teaching and learning methods'.
Teaching assistants:
Birk Houmark Løfqvist
Allan Nouri
Anna Kollerup Iversen
Laurits Rømer Hjorth
Julie Marie Deding Nielsen
Thomas Bark Lodal Mogensen
Christian Sandholm Kastrup
Se skema
 18E;Class;;Econometrics II
 18E;Ex.class 2;;Econometrics II
 18E;Ex.class 3;;Econometrics II
 18E;Ex.class 4;;Econometrics II
 18E;Ex.class 5;;Econometrics II
 18E;Ex.class 6;;Econometrics II
 18E;Ex.class 7;;Econometrics II
 18E;Ex.class 9;;Econometrics II
 19F;Ex. class 1;;Econometrics II
 19F;Ex. class 2;;Econometrics II
 19F;Ex. class 3;;Econometrics II
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