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ECO3017 : Advanced Time Series Econometrics

  • Offered for Year: 2019/20
  • 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


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

Teaching Activities
Category Activity Number Length Student Hours Comment
Scheduled Learning And Teaching ActivitiesLecture111:0011:00N/A
Scheduled Learning And Teaching ActivitiesLecture22:004:00N/A
Guided Independent StudyAssessment preparation and completion131:0031:00N/A
Scheduled Learning And Teaching ActivitiesPractical11:001:00In-class test
Guided Independent StudyDirected research and reading125:0025:00N/A
Scheduled Learning And Teaching ActivitiesSmall group teaching31:003:00N/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.

Assessment Methods

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

Description Length Semester When Set Percentage Comment
Written Examination1201A80N/A
Other Assessment
Description Semester When Set Percentage Comment
Written exercise1M20In-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

Reading Lists