School of Economics and Finance

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