Econometrics 4: Time Series Econometrics (2019)


Basic Information

  • Organizer: University of Helsinki
  • Location: Helsinki, Arkadiankatu 7, Economicum building
  • Time schedule (there might still be slight changes to this schedule)
    • Lectures: Thu 14-16 and Fri 12-14 (14.3. - 26.4.2019) (not during Easter break 18. - 24.4.2019)
    • Please note exceptional places: Fri 29.3. and Fri 26.4. in Lecture room (Auditorium)
    • Exercise sessions: Thu 10-12 (21.3. - 11.4.2019)
    • Exam: 10.5.2019 (10-12)
    • Retake exam: 31.5.2019 (10-12)
    • Please note that all changes to this original schedule will only be posted on the course home page, see above)
  • The course includes 24 hours of lectures and 8 hours of exercises, a final exam and a possibility to retake the exam.

Teaching Staff

  • Instructor: Assistant Professor Mika Meitz (University of Helsinki)
  • Teaching assistant: NN (University of Helsinki)

Topics and learning objectives

  • Description: This module covers a number of models and methods employed in time series econometrics. The emphasis is on univariate models, but also vector autoregressive models are discussed. After the course, the student should know the basic properties of the time series models and related methods introduced, and be able to critically follow empirical research using these methods and apply them in empirical research. The module should also prepare the student for more advanced methodological and applied studies in time series econometrics.
  •  Topics covered include:
    • Basic time series concepts

    • Methods for stationary univariate data: ARMA models, ARCH models

    • Nonstationarity (unit roots, cointegration)

    • Vector autoregressive models

Course Readings and Material