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