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Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
Virtual Open Day! 19 November @1PM GMT | Register Now!
10 Credits

Advanced Time Series Econometrics

Please note to take this course you must first have completed Time Series Econometrics and Forecasting

This course will show how time series can be modelled and analysed. The aim is to provide understanding and insight into the methods used, as well as explaining the technical details. Statistical time series modelling will be demonstrated using the STAMP computer package and participants will be given the opportunity to use STAMP in class.

The Time Series Lab (TSL) program enables the score-driven approach to nonlinear time series to be implemented. There will be a wide range of applications, ranging from assessing the impact of the UK seat belt law, modelling volatility in financial time series and predicting the spread of coronavirus.

​This module can be taken alone or as part of a PG Certificate, PG Diploma or Full Masters Program.

Advanced Time Series Econometrics
  • 10 Credits
  • 100 hours of study
  • 15 contact hours
  • 85 hours for private study
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Qualifications accredited by Lancaster University
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Buildable Qualifications
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Learn Around
Your Schedule
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World-Class
Faculty
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Fully Online

Structure

Software

Module Programme

Stationary time series

Session Content
  • Review of the basic concepts of stationary time series
  • Unobserved components and signal extraction
  • State space models and the Kalman filter

Trends, seasonals and cycles

Session Content
  • ARIMA models
  • Structural time series models
  • Explanatory variables and intervention analysis
  • STAMP package

Multivariate time series models

Session Content
  • Common trends and co-integration
  • Intervention analysis and control groups

Nonlinear models

Session Content
  • Dynamic conditional score models
  • The TSL program

Modelling volatility

Session Content
  • Conditional heteroscedasticity
  • Time-varying correlation and association

Session Content

Session Content

Session Content

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Session Content

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Prerequisites

English Language Requirements

Both Programmes are open to applicants anywhere in the world. We may ask applicants to provide a recognised English language qualification, dependent upon their nationality and where they have studied/worked previously.

 The requirement is an IELTS (Academic) Test with an overall score of at least 6.5, and a minimum of 6.0 in each element of the test. We will also consider other English language qualifications. If their score is below our requirements, they may be eligible for one of Lancaster University's pre-sessional English language programmes.

Academic Requirements

Applicants to the Postgraduate Certificate of Achievement, Postgraduate Certificate, Postgraduate Diploma or full MSc in either programme require either an upper second-class degree in economics, econometrics or related subjects.

Learning Outcomes

Key Skills
  • State space models and the Kalman filter
  • The modelling of univariate and multivariate time series
  • Practical time series modelling using the STAMP package
  • Nonlinear time series models, including volatility modelling and the score-drivenapproach
  • Practical time series modelling using the TSL package
Desired Skills
  • Understand the nature of time series models and the way they are applied in practice
  • Present, interpret and analyse information and results from STAMP and TSL

Frequently Asked Questions

Are the courses within either programme conducted synchronously or asynchronously?

All sessions are conducted live and online at a scheduled time, but are also recorded. Students may attend live and watch the recordings back to recap the material or watch the recordings only if unable to attend live. We always advise students to attend live where possible as this will allow them the best opportunity to engage with the content and ask the lecturer's questions.

Is all examination undertaken online or in-person?

All modules are examined through online coursework submissions, you will have the support of your module lecturer/tutor in this poccess.

Do I need to buy any statistical/econometric software?

No, all necessary software is provided to students.

What do I do if I can't attend a course live?

All courses are recorded and available on the LUMS internet platform throughout the current academic year. They can therefore be viewed 24 hours a day.

A Collaboration Like No Other

Timberlake Consultants and Lancaster University Management School (LUMS) Economics department have a longstanding partnership; combining 40+ years of industry expertise with over 50 years of academic excellence. We are delighted to build on this with our micro-credential postgraduate courses.

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