Econometrics III


Course Objective

Obtaining basic understanding of multivariate dynamic linear modeling
and time series analysis and panel data. Understanding the introductory
theory and practice of econometric analysis of stationary and
non-stationary multivariate stochastic processes and panel data.

Course Content

Econometrics III provides an introduction to multivariate dynamic models
and time-series analysis. The course covers both theoretical and
practical aspects of time-series econometrics including analysis of
multivariate stationary and non-stationary processes, vector
autoregressive (VAR) models, vector error correction models (VECMs), and
cointegration tests. The course also introduces panel data models,
methods and techniques.

Teaching Methods

4 hours per week of lectures, 2 hours per week solving/discussing
theoretical and practical exercises

Method of Assessment

Exam (70%) and practical assignment (30%)

Entry Requirements

Basics of statistics, probability, econometrics, algebra, and calculus


Main reference:
H. L├╝tkepohl, New Introduction to Multiple Time Series Analysis (2006),

Supplementary literature:
J.D. Hamilton, Time Series Analysis (1994), Princeton University Press
B.H. Baltagi, Econometric Analysis of Panel Data (5th Edition, 2013),

Target Audience

The course is targeted at students in the Bachelor Econometrics and
Operations Research (EOR).
It is also recommended for students who are not enrolled in the Bachelor
EOR, but who are interested in pursuing a M.Sc. in Econometrics.

Additional Information

The course is suitable to be taken in an exchange program.

Explanation Canvas

All course materials will be made available on Canvas.

General Information

Course Code E_EOR3_TR3
Credits 6 EC
Period P4
Course Level 300
Language of Tuition English
Faculty School of Business and Economics
Course Coordinator dr. J. Schaumburg
Examiner dr. J. Schaumburg
Teaching Staff

Practical Information

You need to register for this course yourself

Last-minute registration is available for this course.

Teaching Methods Seminar, Lecture
Target audiences

This course is also available as: