Time Series Econometrics (ECON0058)

Key information

Faculty: Faculty of Social and Historical Sciences
Teaching department: Economics
Credit value: 15

Restrictions: ECON0064: Econometrics is the firm pre-requisite. Module is only available to students on the following programmes who are taking ECON0064 Econometrics: UCL MSc Economics, UCL MSc Data Science and Public Policy (Economics route).
Timetable

Alternative credit options

There are no alternative credit options available for this module.

Description

Aims: The goal of this module is to provide students with an understanding and working knowledge of statistical techniques for the empirical analysis and forecasting of time series in macroeconomics and, to a lesser extent, finance. Although the focus of the module is primarily applied, there will also be some emphasis on the theoretical foundations of the techniques analyzed.

Topics

1. Univariate Time Series
Topics include: Tests for structural breaks; Nonlinear models of the conditional mean; Models of the conditional variance: ARCH/GARCH

2. Multivariate Time Series
Topics include: VAR; Structural VAR; Impulse-response analysis; Granger causality; Cointegration

3. Elements of forecasting
Topics include: Forecasting with regression models; Model selection and information criteria; Forecast evaluation and Combination; Forecasting with many predictors: data-reduction methods

Module deliveries for 2024/25 academic year

Intended teaching term: Term 2 听听听 Postgraduate (FHEQ Level 7)

Teaching and assessment

Mode of study: In person
Methods of assessment: 100% Exam
Mark scheme: Numeric Marks

Other information

Number of students on module in previous year: 55
Module leader: Professor Raffaella Giacomini
Who to contact for more information: economics.msc.admissions@ucl.ac.uk

Last updated

This module description was last updated on 8th April 2024.

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