Module details
EC965-7-SP: TIME SERIES ECONOMETRICS
Year: 2013/14
Department: Economics
Essex credit: 20
ECTS credit: 10
Available to Study Abroad / Exchange Students: Yes
| Staff |
| Supervisor: |
Prof Marcus Chambers |
| Teaching Staff: |
Prof Marcus Chambers |
| Contact details: |
For further information, send a message to pgecon (Non essex users should add @essex.ac.uk to create the full email address) |
| Module is taught during the following terms |
| Autumn |  | Spring |  | Summer | |
Module Description
This course is concerned with some topics in modern time series econometrics. Its coverage begins with some of the fundamental concepts used to analyse stationary time series, before proceeding to the analysis of nonstationary (integrated) processes that have dominated recent research in theoretical and applied time series econometrics. The emphasis throughout is on maximum likelihood estimation of linear models, and both univariate and multivariate processes and models are examined. The course concludes with a treatment of continuous time models and ARCH models.
Upon successful completion of this course students will have acquired an appreciation of econometric methods applicable to the analysis of models for economic time series, covering stationary and nonstationary situations in both univariate and multivariate contexts. They should understand the methods of estimation and inference as applied in these models, be able to derive the properties of some econometric methods applicable to time series and be prepared for the use of these methods in their own empirical research.
Learning & Teaching Methods
One 2 hour lecture per week
Assessment
Whichever is the Greater:
EITHER 50 per cent Coursework Mark, 50 per cent Exam Mark
OR 100 per cent Exam Mark
Coursework:
Mid-term test.
Exam Duration and Period
2:00 hour exam during Summer Examination period.
Other information
Compulsory for:
MSc in Economics and Econometrics students, MSc in Financial Economics and Econometrics
Bibliography
- J.D. Hamilton, Time Series Analysis, Princeton University Press, 1994
Further information
Should you have any queries about the Module Directory pages, please contact the Course Record Team, Systems Administration Office, Academic Section; email: crt (non Essex users should add @essex.ac.uk)