Module Catalogue 2018/19

ECO3017 : Advanced Time Series Econometrics

  • Offered for Year: 2018/19
  • Module Leader(s): Dr Robert Anderson
  • Lecturer: Professor Atanu Ghoshray
  • Owning School: Newcastle University Business School
  • Teaching Location: Newcastle City Campus
Semester 1 Credit Value: 10
ECTS Credits: 5.0
Pre Requisites
Code Title
ECO2009Econometric Analysis
Pre Requisite Comment

Empirical Economics Analysis provides a foundation to the material developed in this module.

Co Requisites
Co Requisite Comment



To provide an introduction to modern time-series econometrics techniques. This would give students the econometrics tools required to undertake analysis of economic data as part of a dissertation, and particularly useful to career choices involving modelling data which has a long time-horizon.

Outline Of Syllabus

1.       Stationary univariate models
2.       Unit roots and cointegration
3.       Multivariate time series models

Learning Outcomes

Intended Knowledge Outcomes

The module develops the basic econometric skills introduced in the ECO2009 Emprical Economic Analysis module. Most macroeconomic and financial variables have a long time ‘domain’, as their key feature. This module will build an appreciation for the techniques required to deal with this style of economic data. It will prepare students for undertaking an applied dissertation project, and/or provide a solid foundation for pursuing careers where the analysis of macroeconomic and financial time-series data is required.

Intended Skill Outcomes

1.       Modelling economic time-series (both univariate and multivariate)
2.       Understanding issues of autocorrelation, heteroskedasticity and non-stationarity for time-series data.
3.       Producing reliable inference from time-series data series which might suffer from the issues described in (2).
4.       Critically assessing time-series model adequacy, fit and forecasting performance..

Graduate Skills Framework

Graduate Skills Framework Applicable: Yes
  • Cognitive/Intellectual Skills
    • Critical Thinking : Assessed
    • Data Synthesis : Assessed
    • Numeracy : Assessed
    • Information Literacy
      • Synthesise And Present Materials : Assessed
      • Use Of Computer Applications : Present
  • Self Management
    • Self Awareness And Reflection : Present
    • Planning and Organisation
      • Goal Setting And Action Planning : Present
      • Decision Making : Assessed
    • Personal Enterprise
      • Innovation And Creativity : Present
      • Independence : Present
      • Problem Solving : Assessed
  • Interaction
    • Communication
      • Written Other : Assessed

Teaching Methods

Teaching Activities
Category Activity Number Length Student Hours Comment
Guided Independent StudyAssessment preparation and completion131:0031:00N/A
Scheduled Learning And Teaching ActivitiesLecture141:0014:00N/A
Guided Independent StudyDirected research and reading125:0025:00N/A
Scheduled Learning And Teaching ActivitiesSmall group teaching51:005:00N/A
Guided Independent StudyIndependent study125:0025:00N/A
Teaching Rationale And Relationship

Lectures will be used to develop the key material required to undertake basic time-series analysis. The seminar sessions will be based around problem sets, designed to enforce the material introduced in lectures, which the students will get formative feedback on during class.

Reading Lists

Assessment Methods

The format of resits will be determined by the Board of Examiners

Description Length Semester When Set Percentage Comment
Written Examination1201A75N/A
Other Assessment
Description Semester When Set Percentage Comment
Written exercise1M25In-class test
Formative Assessments
Description Semester When Set Comment
Prob solv exercises1MProblem sets will be considered in the seminar sessions, where answers will be explained and expanded upon.
Assessment Rationale And Relationship

In order to cement the understanding of key concepts introduced in the initial lectures, an in-class test will provide summative feedback to students on their progress.

The final exam tests the overall knowledge learnt and allows students' to demonstrates their ability in applying the econometrics skills to a range of problems


Past Exam Papers

General Notes


Disclaimer: The information contained within the Module Catalogue relates to the 2018/19 academic year. In accordance with University Terms and Conditions, the University makes all reasonable efforts to deliver the modules as described. Modules may be amended on an annual basis to take account of changing staff expertise, developments in the discipline, the requirements of external bodies and partners, and student feedback. Module information for the 2018/19 entry will be published here in early-April 2018. Queries about information in the Module Catalogue should in the first instance be addressed to your School Office.