Econometrics III: Time Series Data

2024/2025

Content, progress and pedagogy of the module

Economists must frequently analyse economic data that are collected and presented at regular intervals (monthly, quarterly, annually).

Academic and professional economists need to understand the strengths and weaknesses of such data and to be able to evaluate research conducted using them. The aim of the module is to teach the students to understand and apply the methods needed to interpret and work with economic time series, and to critically evaluate research that uses such methods.

The module relies on assignments that are structured around the lecture materials and are discussed in class. It is therefore important that the student participate actively during the whole module.  The module also relies on the application of time series models in statistical software using economic and financial data.

Learning objectives

Knowledge

The objective is that the student after the module possesses the necessary knowledge on:

  • statistical models, estimating their parameters and testing hypotheses using time series data.
  • forecasting the future values of important economic variables.
  • different econometric models.
  • how to apply several time series models in statistical software and analyse their results, validity and relevance.

Skills

The objective is that the student after the module possesses the necessary skills in:

  • analysing time series data and finding important patterns, including the use of relevant software.
  • testing economic theories.
  • building new theories based on empirical investigation.
  • formulating advanced time series models using mathematical and statistical methods, including their applications in statistical software.
  • analysing results regarding validity, relevance, and limitations of time series models especially in connection to their application in statistical software.
  • retrieving relevant economic data for time series models, including data preparation, analysis and conversions.

Competences

The objective is that the student after the module possesses the necessary competences in:

  • reflecting upon the theoretical frame of reference to independently perform and justify the choice of theories and methods to analyse economic time series.
  • reading, understanding and critically reviewing an empirical report which uses time series data.
  • building time series models that can address issues related to the real world.
  • carrying out a comprehensive empirical investigation as economists.
  • analysing economic time series using appropriate statistical and econometric techniques and software.

Type of instruction

For information see §17.

Exam

Exams

Name of examEconometrics III: Time Series Data
Type of exam
Written or oral exam
Individual examination.
ECTS5
Assessment7-point grading scale
Type of gradingInternal examination
Criteria of assessmentThe criteria of assessment are stated in the Examination Policies and Procedures

Facts about the module

Danish titleØkonometri III
Module codeKAØKO20222
Module typeCourse
Duration1 semester
SemesterAutumn
ECTS5
Language of instructionEnglish
Location of the lectureCampus Aalborg
Responsible for the module

Organisation

Education ownerMaster of Science (MSc) in Economics
Study BoardStudy Board of Economics (cand.oecon)
DepartmentAalborg University Business School
FacultyFaculty of Social Sciences and Humanities