course-details-portlet

FIN8606 - Applied Time Series Econometrics

About

Examination arrangement

Examination arrangement: Home exam
Grade: Passed/Failed

Evaluation Weighting Duration Grade deviation Examination aids
Home exam 100/100 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. FIN8606 is taught along with FIN3006. Contact the department (econ@ok.ntnu.no) to get access to learning resources in Blackboard. 

Required previous knowledge

None.

Course materials

Announced at the beginning of the term.

Credit reductions

Course code Reduction From To
FIN3003 7.5 AUTUMN 2010
FIN3004 7.5 AUTUMN 2010
FIN3006 10.0 AUTUMN 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 2021

Language of instruction: English

Location: Trondheim

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

Department with academic responsibility
Department of Economics

Examination

Examination arrangement: Home exam

Term Status code Evaluation Weighting Examination aids Date Time Examination system Room *
Autumn ORD Home exam 100/100

Release
2021-12-16

Submission
2021-12-16


09:00


15:00

INSPERA
Room Building Number of candidates
Spring ORD Home exam (1) 100/100 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.
  • 1) Merk at eksamensform er endret som et smittevernstiltak i den pågående koronasituasjonen.
Examination

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

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