Flexible learning
Online postgraduate courses
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.
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- 10 Credits
- 100 hours of study
- 15 contact hours
- 85 hours for private study
Faculty
Structure
Structure
Advanced Time Series (State Space) Models is an elective 10 credit course and therefore students are expected to input approximately 100 hours of study into the course.
The total number of contact hours is 15 hours. This leaves 85 hours for private study.
Lectures
This module consists of 2 - hour lectures per day for 5 days, plus a 1 - hour tutorial per day.
There will be optional clinics on the last day of the course.
The dates of each lecture are confirmed closer to the start of each term. If you have any questions about dates, please contact edu@timberlake.co.uk.
OxMetrics 9
Module Programme
Stationary time series
- 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
- ARIMA models
- Structural time series models
- Explanatory variables and intervention analysis
- STAMP package
Multivariate time series models
- Common trends and co-integration
- Intervention analysis and control groups
Nonlinear models
- Dynamic conditional score models
- The TSL program
Modelling volatility
- Conditional heteroscedasticity
- Time-varying correlation and association
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
- 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
- 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
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.
All modules are examined through online coursework submissions, you will have the support of your module lecturer/tutor in this poccess.
No, all necessary software is provided to students.
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.
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.
Flexible learning
Online postgraduate courses
Specialist courses
Best-in-field experts
Tailored learning
Career-oriented education
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Flexible learning
Online postgraduate courses
Specialist courses
Best-in-field experts
Tailored learning
Career-oriented education