Time Series Econometrics - ECO00087M
Module summary
The module introduces the specification and estimation of time series models and their application in a number of different settings.
Module will run
| Occurrence | Teaching period |
|---|---|
| A | Semester 2 2023-24 |
Module aims
To provide an introduction to the statistical analysis of data observed at regularly spaced points in time, as arise in many areas of economics, finance, and more widely.
Module learning outcomes
On completing the module a student will be able to:
understand the main properties of the leading class of models used for studying time series;
demonstrate a general understanding how to develop model formulation, specification and estimation in time series econometrics;
evaluate basic econometric models and critically interpret the existing empirical literature;
carry out an independent empirical analysis from collecting the data, estimating econometric specifications to writing a self-fulfilling report;
approach the more advanced time series methods
Indicative assessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 70 |
| Essay/coursework | 10 |
| Essay/coursework | 10 |
| Essay/coursework | 10 |
Special assessment rules
None
Indicative reassessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 10 |
Module feedback
Feedback will be provided in line with University policy
Indicative reading
The primary source will be the lecture notes available at VLE. Further references for complementary reading will be provided as the course proceeds.
Comprehensive treatment of the subject matter can be found in
Enders, W., Applied Econometric Time Series (2009)
Hamilton, J., Time Series Analysis (1994).
Brooks: Introductory Econometrics for Finance. Cambridge University Press (2014)
Tsay: Analysis of Financial Time Series. John Wiley (2010).
A fair reading and understanding of Microfit/ Eviews/Stata manuals are recommended for carrying out the empirical applications.