FIN8606 - Applied Time Series Econometrics


Examination arrangement

Examination arrangement: Written examination
Grade: Passed/Failed

Evaluation form Weighting Duration Examination aids Grade deviation
Written examination 100/100 6 hours G

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. 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.

Compulsory assignments

  • Approved term paper(s)/exercise(s)

Specific conditions

Exam registration requires that class registration is approved in the same semester. Compulsory activities from previous semester may be approved by the department.

Required previous knowledge


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



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


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



Examination arrangement: Written examination

Term Status code Evaluation form Weighting Examination aids Date Time Digital exam Room *
Autumn ORD Written examination 100/100 G
Room Building Number of candidates
Spring ORD Written examination 100/100 G
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.

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

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