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The University of Southampton

ECON6041 Time Series Econometrics

Module Overview

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.

Aims and Objectives

Module Aims

• introduce students to the field of time series econometrics and layout the foundations of the econometric theory of time series analysis • equip students with the tools necessary for state of the art empirical research involving economic and financial time series data. • equip students with the techniques used to identify, estimate and conduct inferences in time series models • equip students with the foundations of the asymptotic theory required for analysing the • properties of estimators and test statistics in a time series context

Learning Outcomes

Learning Outcomes

Having successfully completed this module you will be able to:

  • Identify statistical models and techniques that are appropriate for a particular type of time series data
  • Estimate and conduct inferences with time series models
  • Understand the theoretical properties of estimators and test statistics involving time series models


(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

Learning and Teaching

Teaching and learning methods

This is a half module with 20 hours of lectures and seminars. There is also a take-home assessed problem set component

Independent Study80
Total study time100



MethodPercentage contribution
Exam  (3 hours) 90%
Problem sets 10%


MethodPercentage contribution
Exam 100%

Repeat Information

Repeat type: Internal & External

Linked modules

Pre-requisites: ECON6004

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