Advanced Econometrics: Time Series Data, 7.5 credits
(Avancerad ekonometri: tidsseriedata, 7,5 högskolepoäng)
| Course code | 1127NE |
|---|---|
| Subject area | Economics |
| Main field of study | Economics |
| Progressive specialisation | A1N (Second cycle, has only first-cycle course/s as entry requirements) |
| Academic school | School of Social Sciences |
| Disciplary domain |
Social sciences 100%
|
| Grading scale | AF |
| Education cycle | Second-cycle (Master) |
| Language of instruction | English |
| Valid from | Autumn semester 2020 |
Validation
This course syllabus was validated by the Management Board of the School of Social Sciences at Södertörn University on 2020-01-23 according to the stipulations in the Higher Education Ordinance.
Entry requirements
Degree of Bachelor of Economics and English B or the equivalent. Or degree of Bachelor of Science in a social science, Econometrics B/C, 7,5 credits or the equivalent and English B or the equivalent.
Learning outcomes
On completing the course, the student can:
- apply the classical linear regression model and analyse whether the assumptions are satisfied,
- use statistical methods to test model specifications and perform hypothesis tests,
- estimate a model and use it to forecast outcomes,
- detect autocorrelation and use autoregressive models,
- determine if non-stationarity is a concern in the data, and be able to estimate non-stationary relationships,
- use econometric software in order to process data, perform analyses and regressions.
Course content, modules and examinations
The course consists of two main components. We start with a presentation of the classical linear model with a focus on diagnostic tests. The second half of the course focuses on time series regression and forecasting, followed by an analysis of non-stationarity, unit-root tests and an introduction to cointegration. The course provides practical skills in using econometrics software and how econometric analysis can be performed with this software.
1001,
Advanced Econometrics: Time Series Data,
7.5 credits
(Avancerad ekonometri: tidsseriedata,
7,5 högskolepoäng)
Grades permitted:
AF
Course design
The course consists of lectures in an ICT suite with the integrated use of statistics software.
Examination format
Examination is via written examination and a hand-in assignment.
The grading criteria are distributed prior to the start of a course or module.
If a student has a certificate from Södertörn University for compensatory support, the examiner has the right to decide on an adapted examination or alternative form of examination in accordance with Södertörn University's regulations.
Restrictions on accreditation
The course may not be accredited as part of a degree if the contents are partly or wholly the same as a course previously taken in Sweden or elsewhere.