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Time Series Econometrics - ECO00087M

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  • Department: Economics and Related Studies
  • Module co-ordinator: Prof. Yongcheol Shin
  • Credit value: 20 credits
  • Credit level: M
  • Academic year of delivery: 2023-24

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 cycle
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

Assessment

Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Time Series Econometrics		 3 hours 70
Essay/coursework
Empirical project		 N/A 10
Essay/coursework
Time Series Econometrics		 N/A 10
Essay/coursework
Time Series Econometrics		 N/A 10

Special assessment rules

None

Reassessment

Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Time Series Econometrics		 3 hours 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.


The information on this page is indicative of the module that is currently on offer. The University is constantly exploring ways to enhance and improve its degree programmes and therefore reserves the right to make variations to the content and method of delivery of modules, and to discontinue modules, if such action is reasonably considered to be necessary by the University. Where appropriate, the University will notify and consult with affected students in advance about any changes that are required in line with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.