Time Series Econometrics

The details
Colchester Campus
Postgraduate: Level 7
Sunday 17 January 2021
Friday 26 March 2021
24 January 2020


Requisites for this module



Key module for

MRESL10012 Economics,
MRESL100EK Economics,
MRESL100KE Economics,
MSC L10112 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. 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 module concludes with a treatment of continuous time models and models with nonlinearities in mean and variance.

Module aims

The emphasis throughout this module is on maximum likelihood estimation of linear models, and both univariate and multivariate processes and models are examined.

Module learning outcomes

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.

Module information

No additional information available.

Learning and teaching methods

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; and office hours, where any additional questions can be addressed. You should ensure that you use these methods to understand how to improve your own performance.


  • Martin, Vance; Hurn, Stan; Harris, David. (2013) Econometric modelling with time series: specification, estimation and testing, New York: Cambridge University Press. vol. Themes in modern econometrics

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 Weighting
Coursework   Test     
Exam  120 minutes during Summer (Main Period) (Main) 

Overall assessment

Coursework Exam
50% 50%


Coursework Exam
0% 100%
Module supervisor and teaching staff
Prof Marcus Chambers, email:
Prof Marcus Chambers
For further information, send a message to



External examiner

Dr Roberto Bonilla Trejos
The University of Newcastle-upon-Tyne
Available via Moodle
Of 33 hours, 31 (93.9%) hours available to students:
2 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.

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