Course description: ECON5125 – Time series econometrics for non-stationary variables

This is a course description according to ”Utfyllende regler til §§ 2.2, 3.3, (herunder § 3.3.4) and  § 3.7 in ”Forskrift om studier og eksamener ved Universitetet i Oslo”. Documents that are referred to in this description are given in Norwegian only, and are to be found at: http://www.sv.uio.no/studier/forskrifter_regler.html

1.0. Course structure
1.1. Objective
1.	The students should know basic econometric terminology and estimation and test principles for time series models and data. They should be able to formulate and estimate dynamic single-equation and multi-equation models for stationary as well as non-stationary time series data, to interpret such models, and to know how they can be used for simulation purposes and for examining forecasting errors.
2.	They should be able to estimate and interpret, in precise econometric terms, the difference between long-run and short-run effects, as well as deterministic and stochastic trends. 
3.	The students should know the basic theory, including the Granger Representation Theorem, and estimation and testing for the statistical Vector Autoregressive model (VAR), and understand its relevance for the modelling of econometric dynamic systems. They should be able to test the presence of cointegrated relationships in a system, determine empirically the number of such relationships and to use and interpret output from relevant software. 

1.2. Structure and content (course scope and syllabus):
The course is given 10 ECTS credits.

Content:
The course deals with econometric modelling, estimation, and testing of relationships and models for time series data with main focus on methods for handling non-stationary time series. 
Necessary technical background will be established that includes introduction to stationarity and non-stationarity concepts, ARMA- and VAR-modelling, deterministic and stochastic trends, integrated and cointegrated variables, unit roots, identification and exogeneity. Consequences for estimation and interpretation of econometric models that may include non-stationary variables will be looked at. Both single relation methods and the multi-relation system approach will be discussed as well as statistical methods for estimating and determining the presence of one or more cointegrated relations among a set of economic time series.
In addition to discussing the importance of VAR-models for econometric modelling with special focus on autoregressive distributed lag- and error correction models, the course emphasizes applications concerning modelling, estimation, policy analysis and forecasting. 

2.0. Teaching structure:
2.1. Forms of teaching: 
Lectures: 2 hours per week throughout the semester
Seminars: 2 hours per week through parts of the semester

2.2. Academic prerequisites: 
This is an advanced course on ph.d-level, but still open for masterstudents.  Recommended prerequisites: ECON4160 Econometrics – Modeling and systems estimation. Basic knowledge of matrix algebra.

2.3. The course is given: 
Autumn 2005 

2.4. Time period in which the course is taught:
The course is taught throughout the semester. There might occur weeks exempt from teaching (where students are expected to do compulsory term paper).

2.5. Language of instruction: 
English if requested, otherwise Norwegian.

2.6. Administrative unit: 
University of Oslo

2.7. Admission requirements: 
According to ”Forskrift om studier og eksamener ved Universitetet i Oslo § 5.4” a student who has completed the  compulsory activity in a course, does not have the right to repeat the activity again.  A student who is given access to, but has not handed, or not passed, compulsory activity, has right to retake course again, but only when there is a capacity. 

3.0.	 Form of examination:
3.1. Form of assessment: 
3-hour written exam.

At the end of the semester, there will be a 3-hour written exam.  Grades given are A-F, with F as a fail.  See “Forskrift om studier og eksamener ved Universitetet i Oslo, §8.1” about the grading system.  See  http://www.oekonomi.uio.no/studieinfo/studiereformen/Ny%20karakterskala.pdf for the  specific criteria in economics.
Guidelines for to ask for explanations and to make a formal complaint, see  http://www.lovdata.no/all/nl-19950512-022.html

3.2. Academic requirements: 
See 2.2 above.  Students are not allowed to present themselves to the written school exam if the compulsory term paper is not passed.

If  the compulsory term paper is not accepted, students will have a new attempt by handing in a new paper. 

When compulsory term paper is accepted, the result will be registered.  Students can retake the written exam later without handing in compulsory term paper again.  (See also 2.7.)

3.3. Semester in which the final assessment takes place:
The exam is only given the same semester in which the course is taught.

Students who might wish to retake the exam even later, are not guaranteed that the course is ever repeated with a similar reading list, nor that the exam arrangement will be the same if the course is repeated.

3.4. When during the semester the final assessment takes place:
The written exam is given by the end of the semester.

3.5. Special arrangements/final assessment: 
In cases of chronic or acute illness, students may apply for specially arranged exams. Deadline for such applications are 1. February in the spring term and 1. September in the autumn term. See also "Informasjon om tilrettelegging ved eksamen ved Det samfunnsvitenskapelige fakultet."

3.6. Permitted materials for examinations with supervision:
All printed and written resources, in addition to calculator.

3.7. Permitted materials for examinations without supervision:
No exam without supervision.

3.8. Language of examination: 
The problem set will be given in English only.  Answers can be given in Norwegian, Swedish, Danish or in English. For details, see  § 6.4 in ”Forskrift om studier og eksamener ved Universitetet i Oslo”.

3.9. Conditions for non-admitted students to take the examination:
It is possible to study at the Faculty of Social Sciences without being formally admitted to a program of study. For further details, please contact the Department of Economics.

3.10. Policy on deferred examinations: 
Deferred examinations are arranged for students who, for valid reasons (force majeure)  cannot sit on  the regular date. A doctor's certificate is required.  Students wishing to resit the exam for other reasons must wait for the next regular exam. ( See  3.3 above)

3.11. Determination of grades:
Home-exam are graded  by the scale  A-F. For further information, see  “Forskrift om studier og eksamener ved Universitetet i Oslo, §8.1” about the grading system.  See  http://www.oekonomi.uio.no/studieinfo/studiereformen/Ny%20karakterskala.pdf for the  specific criteria in economics.

3.12. Overlap with other courses, reduction in number of credits: 
10 credits overlap: SØK711/ECON711 – Økonometri avanserte emner: Tidsserieanalyse