EC965-7-SP: TIME SERIES ECONOMETRICS
Essex credit: 20
ECTS credit: 10
Available to Study Abroad / Exchange Students: Yes Full Year Module Available to Study Abroad / Exchange Students for a Single Term: No
||Prof Marcus Chambers
||Prof Marcus Chambers
||For further information, send a message to mchamb (Non essex users should add @essex.ac.uk to create the full email address)
|Module is taught during the following terms
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 and Teaching Methods
One 2 hour lecture per week
Whichever is the Greater:
EITHER 50 per cent Coursework Mark, 50 per cent Exam Mark
OR 100 per cent Exam Mark
Exam Duration and Period
2:00 hour exam during Summer Examination period.
MSc in Economics and Econometrics students, MSc in Financial Economics and Econometrics and MSc in Financial Econometrics
- J.D. Hamilton, Time Series Analysis, Princeton University Press, 1994
V. Martin, S. Hurn and D. Harris, Econometric Modelling with Time Series, Cambridge University Press, 2013.
External Examiner Information
- Name: Dr Peter Moffatt
- Institution: THE UNIVERSITY OF EAST ANGLIA
- Academic Role: Reader
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)