ECOM014 - Time Series Analysis
Credits: 15
Module Convenor: Prof Liudas Giraitis
The module aims to provide a foundation in time series analysis in general and in the econometric analysis of economic time series in particular, offering theory and methods at a level consonant with an advanced training for a career economist.
Topics include:
- An Introduction to Time Series Analysis for Econometrics and Finance
- Vector Linear Time Series Models
- Continuous Time Stochastic Models
- Strong Dependence and Long Memory Models
- Unit Roots and Co-integration
Assessment: 80.0% Examination, 20.0% Coursework