Content, progress and pedagogy of the module

The module teaches methods and techniques required for utilising time series data. The module is organized as an interaction between theoretical understanding and practical application. The module starts with covering basic univariate time series models used for forecasting. Afterwards, the module teaches various multivariate time series models, aimed at exploring dynamic relationships. The module builds the research foundation of students, which enables them to conduct research of empirical nature.

Upon completion of this course students are expected to be able to deal with real world time-series. They are expected to be able to find relevant data, identify important patterns in the data, and then perform various econometric applications. They are expected to be able to formulate an appropriate empirical model, estimate its parameters, test hypothesis, and evaluate the model.

Learning objectives

Knowledge

• Intuitive understanding of the properties of time series data.
• Understanding of the mechanics of various time series econometric models (ARIMA, ARDL, VARs).
• Evaluate models, interpret the results, and draw conclusions.

Skills

• Apply time series techniques to construct a statistical model and estimate its parameters using real world data (while using statistical softwares).
• Perform thorough diagnostics of the models and be able to come up with solutions to improve model validity.
• Describing, communicating, and interpreting results of the model.

Competences

• Identify real world problems in the field of economics, and address those problems empirically by applying time series techniques.
• Relate the results of the model to economic theory and draw conclusions in the light of empirical evidence.
• Evaluate the applied approach (theoretically and empirically), and understand the limitations and shortcoming of time series models when drawing conclusions.

Type of instruction

For information see § 17.

Exam

Prerequisite for enrollment for the exam

• It is a prerequisite for exam participation that the students have handed in a written assignment.
• If the student has not fulfilled the above prerequisite for participation in the ordinary examination, then it must be fulfilled to participate in the re-examination.

Exams