Course 403: Time Series Analysis

Department of Economics
Delhi School of Economics
Winter Semester 2023-24 Reetika Garg

READING LIST

Topics
1. Introduction: Spurious regressions and motivation behind Time Series
Analysis, Solution to Difference Equations and Concept of Stationarity.

Book Chapter
Walter Enders (2015) Applied Econometric Time Series 4th Edition
John Wiley & Sons, Inc., Chapter 1 & 3 (selected sections)
Journal Papers:
C.W.J. Granger, P. Newbold,(1974) Spurious regressions in
econometrics, Journal of Econometrics, Volume 2, Issue 2, Pages 111-
120.*
P.C.B. Phillips, (1986) Understanding spurious regressions in
econometrics, Journal of Econometrics, Volume 33, Issue 3, Pages 311-
340.*
2. Unit Root Tests: Deterministic vs stochastic trend, Trend Stationary and
Difference stationary processes, Random walk model, ADF, Phillips Perron,
KPSS and DFGLS Test for Unit Root, Sequential Procedure to test for unit
root.; multiple unit roots, Unit Root Test in the presence of structural breaks

Book Chapter
Walter Enders (2015) Applied Econometric Time Series 4th Edition
John Wiley & Sons, Inc., Chapter 1, 2 and 4 (selected sections)
Holden, D. and R. Perman (1994), “Unit Roots and Cointegration for the
Economist,” Chapter 3 in Cointegration for the Applied Economist, ed.
by B. Bhaskara Rao. (selected sections)
 Perron, P. (1994), “Trend, Unit Root and Structural Change in
Macroeconomic Time Series,” Chapter 4 in Cointegration for the Applied
Economist, ed. by B. Bhaskara Rao. (selected sections)

Journal Papers:
Dickey, D. and W. A. Fuller (1979), Distribution of the Estimates for
Autoregressive Time Series with a Unit Root, Journal of the American
Statistical Association, 74, 427–31.
Dickey, D. and W. A. Fuller (1981), Likelihood Ratio Statistics for
Autoregressive Time Series with a Unit Root, Econometrica, 49, 1057–
72.
Dickey, D. and S. Pantula (1987), Determining the Order of
Differencing in Autoregressive Processes, Journal of Business and
Economic Statistics, 15, 455–61.
Elliott, G., T. Rothenberg and J. Stock (1996), Efficient Tests for an
Autoregressive Unit Root, Econometrica, 64, 813 – 36.*
Kwiatkowski, D., P. Phillips, P. Schmidt and Y. Shin (1992), “Testing
the Null Hypothesis of Stationarity Against the Alternative of a Unit
Root: How Sure Are WE That Economic Tine Series Have a Unit
Root?”, Journal of Econometrics, 54, 159 - 78.
Perron, P. (1989), “The Great Crash, the Oil Price Shock, and the Unit
Root Hypothesis,” Econometrica, 57, 1361-1401.*

3. Box-Jenkins Technique: Autoregressive models, moving average models, mixed

autoregressive and moving average models, Stationarity, invertibility,
Identification, estimation, diagnostic checking

Book Chapters
Hamilton, J.D. (1994) Time Series Analysis. Princeton University
Press, Princeton, Chapter 3 (selected sections)
Walter Enders (2015) Applied Econometric Time Series 4th Edition
John Wiley & Sons, Inc., Chapter 1 and 2 (selected sections)
 Box, G.E.P, Jenkins, G.M. and Reinsel, G.C. (2008) Time Series
Analysis: Forecasting and Control, 4th Edition John Wiley & Sons, Inc.,
Chapter 1 and 3 (selected sections)

Journal Papers:
Makridakis, S. and M. Hibon (1997), “ARMA Models and the Box-
Jenkins Methodology,” Journal of Forecasting, 16, 147-163.*

4. Statistical Theory: Stationarity, Ergodicity, Martingale Difference Sequences,

MDS Central Limit Theorem & Functional Central Limit Theorem.

Book Chapter
Hayashi, Fumio. (2000). Econometrics. Princeton: Princeton
University Press, Chapter 2 (selected sections)

Hamilton, J.D. (1994) Time Series Analysis. Princeton University

Press, Princeton, Chapters 3, 7 and 17 (selected sections)

Maddala, G. S. & Kim, In-Moo, (1999), Unit Roots, Cointegration, and

Structural Change, Cambridge Books, Cambridge University Press,
Chapter 3 (selected sections)

5. Vector Autoregressive Models: Estimation and Identification, Impulse

Response Function and Variance Decomposition.

Book Chapter
Walter Enders (2015) Applied Econometric Time Series 4th Edition
John Wiley & Sons, Inc., Chapter 5 (selected sections)

Journal Papers:
Sims, C.A. (1980), Macroeconomics and Reality, Econometrica, 48, 1-48.
Holden, K. (1995), “Vector Autoregression Modelling and Forecasting,”
Journal of Forecasting, 14, 159-166.*
 Pesaran, M. H. and Shin, Y. (1998) Generalized Impulse Response
Analysis in Linear Multivariate Models. Economics Letters 58(1), 17-
29.*

6. Cointegration: Long Run Cointegrating vector, Error Correction Mechanism,

Engle Granger and Johansen Tests for Cointegration
Book Chapter
Walter Enders (2015) Applied Econometric Time Series 4th Edition
John Wiley & Sons, Inc., Chapter 6 (selected sections)
Holden, D. and R. Perman (1994), “Unit Roots and Cointegration for the
Economist,” Chapter 3 in Cointegration for the Applied Economist, ed.
by B. Bhaskara Rao.*
Engle R.F. and Granger, C.W.J (1991) Long Run Economic
Relationships: Readings in Cointegration, Oxford University Press*

7. ARCH & GARCH Models

Book Chapter
Walter Enders (2015) Applied Econometric Time Series 4th Edition
John Wiley & Sons, Inc., Chapter 3 (selected sections)

Journal Papers:
Bollerslev, T. (1986) Generalised Auturegressive Conditional
Heteroscedasticity, Journal of Econometrics, 31, 307-327
Engle, R.F. (1982) Auturegressive Conditional Heteroscedasticity with
Estimates of the Variance of United Kingdom Inflation, Econometrica,
50, 987-1007

EVALUATION:
Internal Assessment (30 marks) for this Course comprises of EITHER a
midterm exam OR a term paper for Master’s Students;
Term paper (30 marks) for Ph.D. students.
Final Exam (70 marks)