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NBS8565 : Applied Time Series Econometrics

  • Offered for Year: 2023/24
  • Module Leader(s): Professor Atanu Ghoshray
  • Owning School: Newcastle University Business School
  • Teaching Location: Newcastle City Campus

Your programme is made up of credits, the total differs on programme to programme.

Semester 1 Credit Value: 20
ECTS Credits: 10.0
European Credit Transfer System


The aim of this course is to provide students with the knowledge necessary to handle modern time series techniques. Both univariate and multivariate models are considered with and without the stationary assumption. The goals of the course are threefold: (1) develop a comprehensive set of tools and techniques for analysing various forms of univariate and multivariate time series and for understanding the current literature in applied time series econometrics; (2) survey the current research topics in time series econometrics; (3) show how to use econometric software (e.g., RATS) for problems in time series econometrics. To provide examples that replicate journal articles.

Outline Of Syllabus

Content of the course
1. Stationary Univariate Models
Stochastic Difference Equations; ARMA models; Forecasting Methodology; Evaluation - Diebold-Mariano; Clark-West.

2. Unit Roots and Cointegration
Deterministic and Stochastic Trend Models??Robust tests for structural breaks; Unit Root Tests with/without breaks; Cointegration with/without breaks; threshold models/star; unit root tests with TAR/ESTAR adjustment.

3. Multiequation Time Series Models
Structural and Reduced Form VAR; Granger Causality; Impulse Response Functions; Structural Decompositions - Blanchard-Quah; Sims-Bernanke; Permanent-Transitory; Vector Error Correction Models (VECMs).

Teaching Methods

Teaching Activities
Category Activity Number Length Student Hours Comment
Scheduled Learning And Teaching ActivitiesLecture281:0028:0010 hrs - PiP. Remaining hours online
Guided Independent StudyAssessment preparation and completion641:0064:00N/A
Scheduled Learning And Teaching ActivitiesPractical81:008:00PiP
Guided Independent StudyDirected research and reading501:0050:00N/A
Guided Independent StudyIndependent study501:0050:00N/A
Teaching Rationale And Relationship

Lectures provide the theory of the topics covered. Computer classes will teach how to use real world data to understand the theory. The computer classes will help understand the use of a software package. Independent study would help to analyse and review the theory and methods covered in lectures and classes.

Assessment Methods

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

Other Assessment
Description Semester When Set Percentage Comment
Essay2A1004000 word paper (focussed on econometric methodology that resembles the style of a journal article)
Assessment Rationale And Relationship

The essay will help students form an idea how to write empirical articles that can be PhD chapters.

Reading Lists