Introduction to Time-Series Econometrics - EC581

Location Term Level Credits (ECTS) Current Convenor 2017-18 2018-19
Canterbury Spring
View Timetable
5 15 (7.5)


• EC304 Principles of Economics
• EC305 or EC306 Mathematics for Economics
• EC309 Statistics for Economics
• EC580 Introduction to Econometrics





This module provides an analytical introduction to time-series econometrics and the challenges that present themselves with the analysis of time-series economic data. A key issue in this regard involves consideration of whether or not a time-series process is stationary. Traditional econometric techniques such as Ordinary Least Squares (OLS) are poorly suited to the estimation of economic models or data which exhibit non-stationary processes. This module provides an introduction to econometric methods that are suitable for stationary and non-stationary time series analyses.

The focus of the module is predominantly analytical providing students with the knowledge and understanding of time-series techniques commonly used to analyse economic data. The application of these techniques is also considered using specialist econometric software (eg Eviews). The module equips students with the analytical tools to carry out advanced time-series econometrics work at a later stage of their degree programme.


This module appears in:

Contact hours

• 20 lectures
• 9 seminars
• 9 drop-in terminal classes

Method of assessment

20% In Course Test (2 x 10%)
80% Examination (2 hours)

Preliminary reading

• C. Dougherty (2011), Introduction to Econometrics, 4th ed, Oxford University Press
• D. Gujarati (2015), Econometrics by Example, 2nd ed, Palgrave
• G. Maddala & K. Lahiri (2009), Introduction to Econometrics, 4th ed, Wiley
• A. Studenmund (2011), Using Econometrics: A Practical Guide, 6th ed, Addison-Wesley
• J. Wooldridge (2016), Introductory Econometrics: A Modern Approach, 6th ed, Cengage
• M. Verbeek (2012), A Guide to Modern Econometrics, 4nd ed, Wiley

See the library reading list for this module (Canterbury)

See the library reading list for this module (Medway)

Learning outcomes

By the end of the module, you will be able to:

1. Identify and abstract the properties of time-series data and relevant data sources
2. Demonstrate knowledge and understanding of statistical, graphical and numerical data analyses
3. Apply time-series econometrics to economic data using specialist econometric software (e.g. Eviews)
4. Interpret and analyse empirical results obtained from the application of time-series econometrics to economic data
5. Perform data transformations and diagnostic tests relevant to the analysis of time-series data.
6. Retrieve and analyse economic data and information from a variety of sources
7. Address economic problems quantitatively and undertake empirical modelling of economic behaviour using statistical software
8. Utilise and interpret empirical models to support their understanding of economics
9. Write and present economic ideas in a coherent and structured manner
10.Plan work and study independently

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