Module overview
This module explores the properties of a wide range of models and statistical techniques used to describe and analyse Economic and Financial time series data. The aim is to highlight the usefulness of theoretical time series techniques for understanding data patterns and explore dynamic causal linkages.
Linked modules
Pre-requisites: ECON6004
Aims and Objectives
Learning Outcomes
Subject Specific Intellectual and Research Skills
Having successfully completed this module you will be able to:
- formulate and test hypotheses, estimate and conduct inference for time series data using adequate econometric methods
- Identify and apply statistical models and techniques appropriate for a particular types of time series data
Transferable and Generic Skills
Having successfully completed this module you will be able to:
- use quantitative reasoning and data analysis to address complex research questions
Knowledge and Understanding
Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:
- the theoretical properties of estimators and test statistics involving time series models
Syllabus
(1) Defining a stochastic process.
(2) Stationarity, ergodicity and the Ergodic Theorem
(3) The Wold decomposition and ARMA models
(4) Theoretical properties of a selection of ARMA models
(5) Large sample properties of estimators from time series models
Learning and Teaching
Teaching and learning methods
This is a module with 24 hours of lectures and masterclasses.
| Type | Hours |
|---|---|
| Independent Study | 126 |
| Teaching | 24 |
| Total study time | 150 |
Assessment
Assessment strategy
Assessment in this module is through two problem sets (each worth 20% of the final mark) and end-of-term on-campus exam (60%). This is supported by continuous formative assessment. This is the same for internal repeat. Assessment for external repeat and referral is through 100% exam.
Summative
This is how we’ll formally assess what you have learned in this module.
| Method | Percentage contribution |
|---|---|
| Problem sets | 20% |
| Exam | 60% |
| Problem sets | 20% |
Referral
This is how we’ll assess you if you don’t meet the criteria to pass this module.
| Method | Percentage contribution |
|---|---|
| Exam | 100% |
Repeat
An internal repeat is where you take all of your modules again, including any you passed. An external repeat is where you only re-take the modules you failed.
| Method | Percentage contribution |
|---|---|
| Exam | 100% |
Repeat Information
Repeat type: Internal & External