ECON30540 Advd Econometrics: Time Series

Academic Year 2022/2023

This module introduces students to some of the most commonly used time series econometrics models and estimation methods in the field of macro economics and finance. We will explore univariate and multivariate time series (ARMA, unit roots, VAR, etc.).
This module assumes that students have passed an introductory econometrics module such as ECON30130 or equivalent.

Show/hide contentOpenClose All

Curricular information is subject to change

Learning Outcomes:

By the end of this module students should be able to:
1. describe the properties and shortcomings of a variety of econometric models and estimators,
2. apply the methods analyzed in class on macro and finance data.

Student Effort Hours: 
Student Effort Type Hours


Computer Aided Lab


Autonomous Student Learning




Approaches to Teaching and Learning:
The modules comprises lectures and hands-on computer lab sessions; the latter allow students to apply the techniques learned on real data and to develop confidence in handling datasets and statistical software. 
Requirements, Exclusions and Recommendations

Not applicable to this module.

Module Requisites and Incompatibles
ECON3007J - Econometrics of Financial Mark, ECON30420 - Advanced Econometrics, STAT30010 - Time Series Analysis, STAT3007J - Time Series Analysis

Assessment Strategy  
Description Timing Open Book Exam Component Scale Must Pass Component % of Final Grade
Examination: 2 hour end of trimester exam. Essay type questions. 2 hour End of Trimester Exam No Alternative linear conversion grade scale 40% No


Assignment: Graded assignment involving the estimation of econometric models on real world data Week 8 n/a Alternative linear conversion grade scale 40% No


Assignment: Graded assignment requiring the estimation of econometric models on real world data. Week 4 n/a Alternative linear conversion grade scale 40% No


Carry forward of passed components
Resit In Terminal Exam
Summer Yes - 2 Hour
Please see Student Jargon Buster for more information about remediation types and timing. 
Feedback Strategy/Strategies

• Group/class feedback, post-assessment
• Self-assessment activities

How will my Feedback be Delivered?

1. Regular problem sets will be assigned throughout the semester for self-assessment; solutions will be posted on Brightspace and will be explained in detail during tutorials. 2. Appointments will be given to those students wishing to get individual feedback on the empirical assignments and the final examination.

Name Role
Xidong Guo Tutor