Module Catalogue 2022/23

ECO3017 : Advanced Time Series Econometrics

  • Offered for Year: 2022/23
  • Module Leader(s): Dr Robert Anderson
  • Lecturer: Professor Atanu Ghoshray
  • Owning School: Newcastle University Business School
  • Teaching Location: Newcastle City Campus
Semesters
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

N/A

Aims

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 Empirical 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. Making inference based on Granger causality and innovation accounting.

Teaching Methods

Teaching Activities
Category Activity Number Length Student Hours Comment
Scheduled Learning And Teaching ActivitiesLecture141:0014:00PiP lectures
Guided Independent StudyAssessment preparation and completion120:0020:00N/A
Guided Independent StudyDirected research and reading132:0032:00N/A
Scheduled Learning And Teaching ActivitiesSmall group teaching61:006:00PiP seminars
Guided Independent StudyIndependent study128:0028:00N/A
Total100:00
Teaching Rationale And Relationship

Lectures will be used to develop the key material required to undertake time-series econometric analysis. The small group 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. These small group seminar sessions are essential to cementing understanding in allowing discussion and further exploration of the derivations and econometric techniques introduced in lectures.

Reading Lists

Assessment Methods

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

Exams
Description Length Semester When Set Percentage Comment
Written Examination1201A100Invigilated exam. If PiP activity is problematic, will be 24-take home paper.
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

The formative assessment component centres around the seminar problem solving exercises, providing a focal point for discussion, and feedback on students' understanding of topic content.

The final written exam tests the overall knowledge learnt and allows students' to demonstrates their ability in applying the econometrics skills to a range of problems. Using a timed invigilated examination environment is best suited to testing the understanding of the mathematical and statistical techniques employed in the module, and hence is used to ensure learning objectives are met.

In the case of an alternative assessment for semester 1 (100% of the module mark) being necessary due to circumstances, the Module Leader will in discussion with the DPD and the University, discuss possible acceptable online alternatives, such as a take home exam delivered online with a set time limit to complete (24 hours or less as deemed appropriate).

Timetable

Past Exam Papers

General Notes

N/A

Disclaimer: The information contained within the Module Catalogue relates to the 2022/23 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 2023/24 entry will be published here in early-April 2023. Queries about information in the Module Catalogue should in the first instance be addressed to your School Office.