Lecture 4: Dynamic Models and Stationarity in time series data

This is Lecture 4 in my Econometrics course at Swansea University. Watch live on The Economic Society Facebook page Every Monday 2:00 pm (UK time) October 2nd - December 2017. https://www.facebook.com/TheEconomicSociety In this lecture, I explain different types of dynamic models. The lecture covered Distributed lag models, Koyck transformation AR process, and Autoregressive Distributed Lag ARDL models. The example we followed throughout the lecture is concerning the estimation of the consumption function. The lecture also covered stationarity in time series, stationary as a concept, what the consequences are of regression non-stationary time series, and how to examine a given series (by graph, correlogram, and unit root tests). We also discussed how to covert a non-stationary series into stationary by demeaning or taking the first difference.