The module offers a research-oriented introduction to contemporary time series econometrics by linking econometric theory to empirical studies of the macro-economy and financial markets. It introduces models and methods used in central banks and research institutions for policy analysis and forecasting. It integrates empirical illustrations through the use of computer-based exercises with macroeconomic and financial data using appropriate software. We start with providing comprehensive treatment of univariate time series analysis and deal in details with the modelling and forecasting of stationary and non-stationary stochastic processes. We then look into models of time-varying volatility. Finally, we generalise the learned techniques to multiple time series and study co-integration.
This module appears in the following module collections.
Total contact hours: 36
Private study hours: 114
Total study hours: 150
Method of assessment
30% Project (2000 words)
10% In-Course Test (60 minutes)
60% Examination (2 hours)
• Hamilton, James. Time Series Analysis. Princeton University Press, 2014
• Enders, Walter. Applied Econometric Times Series. 4th Edition. Wiley, 2014
• Lütkepohl, Helmut. New Introduction to Multiple Time Series Analysis. Springer, 2006
• Franses, Philip, van Dijk, Dick and Anne Opschoor. Time Series Models for Business and Economic Forecasting. 2nd Edition. Cambridge University Press, 2016
See the library reading list for this module (Canterbury)
On successfully completing the module students will be able to:
• demonstrate a comprehensive understanding of econometric techniques used with time series data
• demonstrate critical assessment in reading and interpretation of empirical macroeconomic research
• be practised in own modelling of economic series using advanced econometric theory
• demonstrate the ability to undertake complex empirical research using statistical software for time series analysis
• utilise modern computing resources to access and acquire time series data from relevant sources
• demonstrate enhanced problem-solving skills with complex quantitative models
• present convincing and rigorous economic arguments orally as well as in written form
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Credit level 7. Undergraduate or postgraduate masters level module.
- ECTS credits are recognised throughout the EU and allow you to transfer credit easily from one university to another.
- The named convenor is the convenor for the current academic session.
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