Economics: Time Series Analysis

Time series data occur in a sequence and represent different points in time. Thus, we can plot time series data in a figure. For a trained eye, such time series plots can be extremely informative. In fact, just looking at a time series plot ("eyeball econometrics") is often enough to determine the most appropriate econometric approach. Because of this, the course is organised based on how data look.

A key distinction is whether the data tend to move around a mean value or if it have a long term upward or downward trend. Some time series, like GDP or unemployment growth, never wander far away from their mean. Other time series are trending. Examples include prices, income, exchange rates and consumption. If a time series is trending, you need different methods to analyse compared to when it is not.

Thus, to identify the most appropriate approach, you need to take the look and length of a time series into account. In this course, you will learn how to do this. You will developing an in-depth understanding for what works and what doesn’t based on theoretical knowledge and hands-on experience with a range of approaches. This will leave you with a pallet of tools that can be selectively deployed depending on how the data look. And if you find yourself in uncharted territory, the focus we place on in-depth understanding will help you find a solution.

Course literature

The course literature listed may be updated up to eight weeks before the course begins.

Mastering the craftmanship of time series econometrics requires both theoretical and practical know-how. You need to know the "how" and the "why" before you apply econometrics.

The theory is taught face-to-face in the classroom. The idea is the following: For each lecture there is set of video recordings. You have a look at these beforehand. We then spend a part of each lecture going over the most important/challenging parts of those videos. We spend the rest of the lecture solving exam style exercises. By focusing on essentials, classes are a good preparation for the exam. As already alluded to, the theoretical component of the course is examined through a written exam.

Once the relevant theory has sunk in, it is important to apply it in empirical practice. You will do this through a number of computer labs. The labs have an open-ended design to give you an in-depth understanding of the issues you encounter. The tasks you face are only broadly defined, thereby providing you with ample degree of freedom to put a twist on the analysis. Because of this open-endedness, all the choices you make must be motivated, just like in research or thesis writing. Lab reports are therefore akin to short theses and writing reports will prepare you for thesis writing.

Prerequisites

Students admitted to the Master Programme in Economics or the Master Program in Finance, and who have taken the courses NEKN31 “Advanced Econometrics” or NEKN82 “Empirical Finance”, are eligible to take this course. Students admitted to the Master Programme in Data Analytics and Business Economics are eligible to take this course. For other students at least 90 ECTS-credits in economics are required. These must include 15 ECTS-credits at the advanced level, including the course NEKN31 "Advanced Econometrics" or NEKN82 “Empirical Finance” or an equivalent course in econometrics at the advanced level.

Selection criteria

Seats are allocated according to: ECTS (HPAV): 100 %.

Tuition fees for non-EU/EEA citizens

Citizens of countries outside:

• The European Union (EU)
• The European Economic Area (EEA) and
• Switzerland

are required to pay tuition fees. You pay an instalment of the tuition fee in advance of each
semester.

Tuition fees, payments and exemptions

Full programme/course tuition fee: SEK 16,875
First payment: SEK 16,875

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Note that you may also need to pay an application fee, or provide proof of exemption.

Application fee

No tuition fees for citizens of the EU, EEA and Switzerland

There are no tuition fees for citizens of the European Union (EU), the European Economic Area (EEA) and Switzerland.