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Module

ECO3017 : Advanced Time Series Econometrics

  • Offered for Year: 2020/21
  • 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

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

Teaching Methods

Please note that module leaders are reviewing the module teaching and assessment methods for Semester 2 modules, in light of the Covid-19 restrictions. There may also be a few further changes to Semester 1 modules. Final information will be available by the end of August 2020 in for Semester 1 modules and the end of October 2020 for Semester 2 modules.

Teaching Activities
Category Activity Number Length Student Hours Comment
Structured Guided LearningLecture materials181:0018:00Non-Synchronous Online Materials (2 x delivery)
Guided Independent StudyAssessment preparation and completion114:0014:00N/A
Structured Guided LearningAcademic skills activities91:009:00Non-Synchronous Online Structured Guided Learning (2 x delivery)
Guided Independent StudyDirected research and reading125:0025:00N/A
Scheduled Learning And Teaching ActivitiesSmall group teaching51:005:00Synchronous Online Timetabled - seminars
Guided Independent StudyIndependent study125:0025:00N/A
Scheduled Learning And Teaching ActivitiesScheduled on-line contact time41:004:00Synchronous Online Timetabled - online Q&A and virtual office hours
Total100:00
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.

Assessment Methods

Please note that module leaders are reviewing the module teaching and assessment methods for Semester 2 modules, in light of the Covid-19 restrictions. There may also be a few further changes to Semester 1 modules. Final information will be available by the end of August 2020 in for Semester 1 modules and the end of October 2020 for Semester 2 modules.

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

Exams
Description Length Semester When Set Percentage Comment
PC Examination1201M10024 hr take home exam. Scheduled for timetable week 19 (teaching week 9)
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 exam tests the overall knowledge learnt and allows students' to demonstrates their ability in applying the econometrics skills to a range of problems

Reading Lists

Timetable