Time Series Econometrics

2018-2019

Course Objective

To gain insights in economic and financial time series modelling with a
focus on theory, methods and computations.

Course Content

This course focuses on theory, methodology and computational methods for
a general class of time series state space models
The econometric methodology is explored in detail for a number of
selected topics in the time series analysis of economic and financial
data.
In particular, dynamic model properties, model formulations, likelihood
evaluations, signal extraction and Monte Carlo simulation methods are
studied.
Theory and methods are developed in detail: derivations are studied
which all start from basic principles in statistics and econometrics.
Various computer programs need to be developed for the implementation of
the methods.

Teaching Methods

lectures
tutorials

Method of Assessment

written exam
written assignments

Literature

Selection of literature:
- Brockwell, P.J. & R.A. Davis, Time Series: Theory and Methods. Second
Edition, Springer-Verlag, 1991.
- Durbin, J. & S.J. Koopman, Time Series Analysis by State Space
Methods. Second Edition, Oxford University Press, 2012.
- Selected papers.

General Information

Course Code E_EORM_TSE
Credits 6 EC
Period P4
Course Level 400
Language of Tuition English
Faculty School of Business and Economics
Course Coordinator prof. dr. S.J. Koopman
Examiner prof. dr. S.J. Koopman
Teaching Staff

Practical Information

You need to register for this course yourself

Last-minute registration is available for this course.

Teaching Methods Lecture
Target audiences

This course is also available as: