Time Series Econometrics

Learning Outcomes

Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

• formulate and test hypotheses, estimate and conduct inference for time series data using adequate econometric methods
• Identify and apply statistical models and techniques appropriate for a particular types of time series data

Knowledge and Understanding

Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:

• the theoretical properties of estimators and test statistics involving time series models

Transferable and Generic Skills

Having successfully completed this module you will be able to:

• use quantitative reasoning and data analysis to address complex research questions

(1) Defining a stochastic process.

(2) Stationarity, ergodicity and the Ergodic Theorem

(3) The Wold decomposition and ARMA models

(4) Theoretical properties of a selection of ARMA models

(5) Large sample properties of estimators from time series models

Teaching and learning methods

This is a module with 24 hours of lectures and masterclasses.

Assessment strategy

Assessment in this module is through two problem sets (each worth 5% of the final mark) and an end of module take-home assignment (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 take-home assignment.

Summative

This is how we’ll formally assess what you have learned in this module.

Referral

This is how we’ll assess you if you don’t meet the criteria to pass this module.

Repeat

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.

Repeat Information

Repeat type: Internal & External