TIME SERIES ECONOMETRICS - 2018/9

Module code: ECO3003

Module Overview

By the end of the module students will have learnt how to carry out empirical analyses using appropriate econometric software to study economic and financial time series data; how to interpret the results of such analyses; and will have acquired an ability to critically assess empirical papers.

Module provider

Economics

Module Leader

GABRIEL V Dr (Economics)

Number of Credits: 15

ECTS Credits: 7.5

Framework: FHEQ Level 6

JACs code: L140

Module cap (Maximum number of students): N/A

Module Availability

Semester 1

Prerequisites / Co-requisites

N/A

Module content

Indicative content includes:


The classical linear regression model: review of underlying statistical theory.  Properties of estimators and  test statistics.
Stationary Time Series Models.
Dynamic models: Distributed lags and models of expectations, error correction models.
Econometric modelling methodology - General to specific modelling strategy for econometric time series models.
VAR models
Random walks, tests for unit roots.  Cointegration. 
Modeling Volatility in Financial Time Series.

Assessment pattern

Assessment type Unit of assessment Weighting
School-timetabled exam/test 1 hour computer-based test 30
Examination 2 HOUR EXAMINATION 70

Alternative Assessment

Not applicable.

Assessment Strategy

The assessment strategy is designed to provide students with the opportunity to demonstrate:

Their understanding of econometric methods  that are commonly used in analysing time series data, and the ability to use relevant computer packages to investigate real world economic problems.

Thus, the summative assessment for this module consists of:

Mid-term computer-based class test in week 8, to be worth 30% of the final mark.
Final written exam containing questions covering all 11 weeks. Worth 70% of the final mark. 

Formative assessment and feedback

Students receive verbal feedback during lectures through direct questioning (in which multiple questions and real-world examples of the use of economics are discussed). There are also homework assignments throughout the course, where feedback is provided for all individual questions.In addition to this, they receive guidance and illustrations to the use of Eviews and other relevant econometric packages.

Module aims

  • Provide the student with the theoretical and practical skills necessary to construct state of the art, single and multi-equation econometric models. The module will equip the student with the ability to undertake, understand, and critically assess empirical work in economics, with a view to enabling the student to use econometrics to catalogue and describe empirical regularities and test various propositions.

Learning outcomes

Attributes Developed
1 Understand the underlying statistical foundations of econometrics KCT
2 Critically assess published econometric results; KCP
3 Formulate, estimate and interpret an econometric time series model; KCPT
4 Write up the results of a study of an economic problem that includes econometric analysis; KCPT
5 Proficiently use the time series testing and estimation capabilities of a range of packages (e.g. EViews, Oxmetrics or R) KCPT

Attributes Developed

C - Cognitive/analytical

K - Subject knowledge

T - Transferable skills

P - Professional/Practical skills

Overall student workload

Independent Study Hours: 128

Lecture Hours: 22

Methods of Teaching / Learning

The learning and teaching strategy is designed to:


give students the theoretical tools they need to go out and analyse real world situations;
encourage rigour in their approach to problems;
encourage hands-on study of empirical problems


The learning and teaching methods include:


2 hour lecture per week x 11 week

Indicated Lecture Hours (which may also include seminars, tutorials, workshops and other contact time) are approximate and may include in-class tests where one or more of these are an assessment on the module. In-class tests are scheduled/organised separately to taught content and will be published on to student personal timetables, where they apply to taken modules, as soon as they are finalised by central administration. This will usually be after the initial publication of the teaching timetable for the relevant semester.

Reading list

Reading list for TIME SERIES ECONOMETRICS : http://aspire.surrey.ac.uk/modules/eco3003

Programmes this module appears in

Programme Semester Classification Qualifying conditions
Business Economics BSc (Hons) 1 Optional A weighted aggregate mark of 40% is required to pass the module
Economics BSc (Hons) 1 Optional A weighted aggregate mark of 40% is required to pass the module
Economics and Finance BSc (Hons) 1 Optional A weighted aggregate mark of 40% is required to pass the module
Economics and Mathematics BSc (Hons) 1 Optional A weighted aggregate mark of 40% is required to pass the module

Please note that the information detailed within this record is accurate at the time of publishing and may be subject to change. This record contains information for the most up to date version of the programme / module for the 2018/9 academic year.