Time Series Econometrics

The details
Colchester Campus
Postgraduate: Level 7
Monday 13 January 2025
Friday 21 March 2025
21 February 2024


Requisites for this module



Key module for

MRESL10012 Economics,
MRESL100EB Economics,
MRESL100EK Economics,
MRESL100KE Economics,
MSC L10112 Economics and Econometrics,
MSC L101EB Economics and Econometrics,
MSC L101EK Economics and Econometrics,
MSC L101KE Economics and Econometrics,
MSC L101UH Economics and Econometrics,
MSC L11412 Financial Econometrics,
MSC L10212 Financial Economics and Econometrics,
MPHDL10048 Economics,
PHD L10048 Economics

Module description

This module is concerned with some topics in modern time series econometrics.

The module 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 module concludes with a treatment of continuous time models and models with nonlinearities in mean and variance.

Module aims

The aims of this module are:

  • To focus on the maximum likelihood estimation of linear models.

  • To examine univariate and multivariate processes and models.

Module learning outcomes

By the end of this module, students will be expected to be able to:

  1. Acquire 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.

  2. Understand the methods of estimation and inference as applied in these models.

  3. Be able to derive the properties of some econometric methods applicable to time serie.

  4. Be prepared for the use of these methods in their own empirical research. 

Module information

This is not an introductory econometrics module for master students and is suitable for students who have already learned materials covered in EC501, EC966, EC466, or an equivalent module.

Learning and teaching methods

This module will be delivered via:

  • One 2-hour lecture per week.

Feedback for this module will occur through:

  • Class meetings, where we will go over the answers to problem sets and where you will be able to ask questions about your own method of solution.
  • Outline answers that will be posted on the website for the module that will give you written guidance on the appropriate method to approach the problem sets and tests.
  • Academic support hours where additional questions can be addressed and further feedback obtained.

Students should make sure that they use these methods and resources to understand how to improve their own performance.


  • Hansen, B.E. (2022a) Econometrics. Princeton: Princeton University Press.
  • Hansen, B.E. (2022b) Probability & statistics for economists. Princeton: Princeton University Press.
The above list is indicative of the essential reading for the course.
The library makes provision for all reading list items, with digital provision where possible, and these resources are shared between students.
Further reading can be obtained from this module's reading list.

Assessment items, weightings and deadlines

Coursework / exam Description Deadline Coursework weighting
Coursework   Mid-Term Test - In person     
Exam  Main exam: In-Person, Open Book, 120 minutes during Summer (Main Period) 
Exam  Reassessment Main exam: In-Person, Open Book, 120 minutes during September (Reassessment Period) 

Exam format definitions

  • Remote, open book: Your exam will take place remotely via an online learning platform. You may refer to any physical or electronic materials during the exam.
  • In-person, open book: Your exam will take place on campus under invigilation. You may refer to any physical materials such as paper study notes or a textbook during the exam. Electronic devices may not be used in the exam.
  • In-person, open book (restricted): The exam will take place on campus under invigilation. You may refer only to specific physical materials such as a named textbook during the exam. Permitted materials will be specified by your department. Electronic devices may not be used in the exam.
  • In-person, closed book: The exam will take place on campus under invigilation. You may not refer to any physical materials or electronic devices during the exam. There may be times when a paper dictionary, for example, may be permitted in an otherwise closed book exam. Any exceptions will be specified by your department.

Your department will provide further guidance before your exams.

Overall assessment

Coursework Exam
50% 50%


Coursework Exam
0% 100%
Module supervisor and teaching staff
Dr Shin Kanaya, email:
Lectures & Classes: Dr Shin Kanaya
For further information, send an email message to



External examiner

Miss Maria Kyriacou
Available via Moodle
Of 228 hours, 29 (12.7%) hours available to students:
199 hours not recorded due to service coverage or fault;
0 hours not recorded due to opt-out by lecturer(s).


Further information

* Please note: due to differing publication schedules, items marked with an asterisk (*) base their information upon the previous academic year.

Disclaimer: The University makes every effort to ensure that this information on its Module Directory is accurate and up-to-date. Exceptionally it can be necessary to make changes, for example to programmes, modules, facilities or fees. Examples of such reasons might include a change of law or regulatory requirements, industrial action, lack of demand, departure of key personnel, change in government policy, or withdrawal/reduction of funding. Changes to modules may for example consist of variations to the content and method of delivery or assessment of modules and other services, to discontinue modules and other services and to merge or combine modules. The University will endeavour to keep such changes to a minimum, and will also keep students informed appropriately by updating our programme specifications and module directory.

The full Procedures, Rules and Regulations of the University governing how it operates are set out in the Charter, Statutes and Ordinances and in the University Regulations, Policy and Procedures.