This module explores the properties of a wide range of models and statistical techniques used to describe and analyse Economic and Financial time series data. The aim is to highlight the usefulness of theoretical time series techniques for understanding data patterns and explore dynamic causal linkages.
Pre-requisites: ECON6004
Having successfully completed this module you will be able to:
(1) Basic concepts of Stochastic Processes.
(2) Stationary linear models: Characterisation, Estimation and Inference
(3) Introduction to Asymptotics for linear processes
(4) Nonstationary Linear Models: Describing Trending Behaviour; Testing and Estimation.
(5) Introduction to the Asymptotics of nonstationary processes
This is a half module with 20 hours of lectures and seminars.
| Type | Hours |
|---|---|
| Independent Study | 80 |
| Teaching | 20 |
| Total study time | 100 |
Assessment in this module is through a take-home problem set during the semester (worth 10% of the final mark) and an end of module assessment (90%). This is supported by continuous formative assessment. This is the same for internal repeat. Assessment for external repeat and referral is through 100% end of module assessment.
This is how we’ll formally assess what you have learned in this module.
| Method | Percentage contribution |
|---|---|
| Problem sets | 10% |
| Final Assessment | 90% |
This is how we’ll assess you if you don’t meet the criteria to pass this module.
| Method | Percentage contribution |
|---|---|
| Final Assessment | 100% |
An internal repeat is where you take all of your modules again, including any you passed. An external repeat is where you only re-take the modules you failed.
| Method | Percentage contribution |
|---|---|
| Final Assessment | 100% |
Repeat type: Internal & External