- Department: Economics and Related Studies
- Module co-ordinator: Prof. Yongcheol Shin
- Credit value: 20 credits
- Credit level: M
- Academic year of delivery: 2023-24
The module introduces the specification and estimation of time series models and their application in a number of different settings.
Occurrence | Teaching cycle |
---|---|
A | Semester 2 2023-24 |
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.
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
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 |
None
Task | Length | % of module mark |
---|---|---|
Closed/in-person Exam (Centrally scheduled) Time Series Econometrics |
3 hours | 10 |
Feedback will be provided in line with University policy
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.