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NQF credits: 30

Fifth year status‚ second semester‚ two double lectures and one double tut per week.

Course co–ordinator: A Professor I Woolard.

Entrance requirements: ECO4016F (Econometrics)‚ STA5085F (Introduction to Statistics)‚ or other equivalent course or at the discretion of the Head of Department.

Course outline:

The course provides an accessible introduction to the application of time series methods. Topics covered include solution methods for stochastic difference equations‚ stationary models‚ state–space models‚ heteroskedasticity models‚ other non–stationary models‚ multi–equation vector autoregression models‚ dynamic factor models‚ cointegration and error–correction models‚ and nonlinear models. The course will also emphasize recent developments in time series analysis and areas of ongoing research.DP requirements: None.

Assessment: Assignments‚ tests and examination count for 100%.    

Last updated : 18 Jun 2014





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