TIME SERIES ECONOMETRICS - 2021/2

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

VOLPICELLA Alessio (Economics)

Number of Credits: 15

ECTS Credits: 7.5

Framework: FHEQ Level 6

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.


• Modeling Volatility in Financial Time Series.


• 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, structural breaks. Cointegration. 

Assessment pattern

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:

midterm to be worth 30% of the final mark;
final exam is worth 70% of the final mark. 

Formative assessment and feedback

Students receive verbal feedback during lectures and tutorials through direct questioning (in which multiple questions and real-world examples of the use of economics are discussed). In addition to this, they receive guideline solutions to tutorial questions, against which they can compare their own results. After the midterm feedback is provided.

Module aims

• Provide the student with the theoretical and practical skills necessary to construct state of the art, single and multi-equation time series 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

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.

• 2 hour lecture per week x 11 weeks.


• 1 hour tutorial/lab session per week x 10 weeks.

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

https://readinglists.surrey.ac.uk
Upon accessing the reading list, please search for the module using the module code: ECO3003

Programmes this module appears in

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 2021/2 academic year.