course-details-portlet

FIN8606 - Applied Time Series Econometrics

About

Examination arrangement

Examination arrangement: Home examination
Grade: Passed/Failed

Evaluation form Weighting Duration Examination aids Grade deviation
Home examination 30/100 1 weeks
Home examination 70/100 3 hours

Examination arrangement

Examination arrangement: Assignment and Home examination
Grade: Passed/Failed

Evaluation form Weighting Duration Examination aids Grade deviation
Assignment 30/100 1 weeks
Home examination 70/100 6 hours

Course content

The course treats econometric methods for analysis of time series with a particular focus on applications in finance and macroeconomics. The topic deals with strategies for empirical modeling of dynamic models. Methods for modeling non-stationary variables are emphasised. Methods for studying non-linear models and regime shifts are introduced, and also use of panel data and modeling of volatility in financial variables. Examples of specific applications are given, both in empirical macroeconomics and finance.

Learning outcome

Knowledge You learn - assumptions and properties of the statistical models and distributions used in modern dynamic econometrics, with special emphasis on financial and macroeconomic models - the Vector Autoregressive model (VAR), models with non-constant variance and non-linear models - how to test hypotheses about non-stationarity - how to test hypotheses about cointegration relationships in a system and how to determine empirically the number of such relationships - how to estimate and do inference in cointegrated VAR’s - how to test hypotheses about non-constant variance - how to estimate models with non-constant variance - how to test hypothesis about non-linearity - how to estimate non-linear models - how to forecast with econometric models Skills You should be able to - formulate dynamic econometric models theoretically - test the assumptions of dynamic econometric models using modern software - apply financial and macroeconomic econometric models, for modeling and for forecasting General competence You should be able to - read and understand research papers on the topics of this course

Learning methods and activities

4 hours of lectures every week.

Autumn 2020: None termpaper

Spring 2021:

Compulsory activity: Approved term paper(s)/ exercise(s). Specific requirements will be announced at the beginning of the term. FIN8606 follows the teaching hours for FIN3006.

Further on evaluation

The course has a midterm home exam xounting 30 % on the final grade, and a 6-hour home exam counting 70 %

Required previous knowledge

None.

Course materials

Announced at the beginning of the term.

Credit reductions

Course code Reduction From To
FIN3003 7.5 01.09.2010
FIN3004 7.5 01.09.2010
FIN3006 10.0 01.09.2018
More on the course

No

Facts

Version: 1
Credits:  10.0 SP
Study level: Doctoral degree level

Coursework

Term no.: 1
Teaching semester:  AUTUMN 2020

No.of lecture hours: 4

Language of instruction: English

Location: Trondheim

Subject area(s)
  • Financial Economics
  • Economics
  • Social Sciences
Contact information
Course coordinator:

Department with academic responsibility
Department of Economics

Phone:

Examination

Examination arrangement: Home examination

Term Status code Evaluation form Weighting Examination aids Date Time Digital exam Room *
Spring ORD Home examination 30/100

Release 2021-04-12

Submission 2021-04-19

Release 09:00

Submission 09:00

INSPERA
Room Building Number of candidates
Spring ORD Home examination 70/100

Release 2021-06-01

Submission 2021-06-01

Release 09:00

Submission 12:00

INSPERA
Room Building Number of candidates

Examination arrangement: Assignment and Home examination

Term Status code Evaluation form Weighting Examination aids Date Time Digital exam Room *
Autumn ORD Assignment 30/100

Release 2020-10-05

Submission 2020-10-12

Release 09:00

Submission 10:00

INSPERA
Room Building Number of candidates
Autumn ORD Home examination 70/100

Release 2020-12-12

Submission 2020-12-12

Release 09:00

Submission 15:00

INSPERA
Room Building Number of candidates
  • * The location (room) for a written examination is published 3 days before examination date. If more than one room is listed, you will find your room at Studentweb.
Examination

For more information regarding registration for examination and examination procedures, see "Innsida - Exams"

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