Time Series Econometrics
Postgraduate: Level 7
Monday 13 January 2020
Friday 20 March 2020
04 October 2018
Requisites for this module
MSC L10112 Economics and Econometrics,
MSC L10124 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
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 models with nonlinearities in mean and variance.
No information available.
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.
No additional information available.
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.
This module does not appear to have a published bibliography for this year.
|Assessment items, weightings and deadlines
|Coursework / exam
||120 minutes during Summer (Main Period) (Main)
Module supervisor and teaching staff
Prof Marcus Chambers
For further information, send a message to email@example.com
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).
* Please note: due to differing publication schedules, items marked with an asterisk (*) base their information upon the previous academic year.
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