# Time Series Analysis

7.5 credits

Syllabus, Bachelor's level, 2ST093

A revised version of the syllabus is available.
Code
2ST093
Education cycle
First cycle
Main field(s) of study and in-depth level
Statistics G1F
Fail (U), Pass (G), Pass with distinction (VG)
Finalised by
The Department Board, 13 August 2021
Responsible department
Department of Statistics

## Entry requirements

Entry requirements are Statistics A 30 c (or equivalent), or alternatively A4 Basic Statistics / A8 Statistics for Economics / Statistics for Planning (or equivalent, total 15 c) and course registration on A5 Applied Statistics (or equivalent, total 15 c).

## Learning outcomes

A student that has completed the course should

? have deeper knowledge of statistical theory and methods particularly common problems in economical social sciences especially economics.

? be able to estimate models for time-series data.

? be able to interpret the results of an implemented statistical analysis

? be aware of limitations and possible sources of errors in the analysis

? have ability to present results in oral and written form

## Content

Overview of forecasting. Models for time series: Time-dependent seasonal components. Autoregressiva (AR), moving average (MA) and mixed ARMA-modeller. The Random Walk Model. Box-Jenkins methodology. Forecasts with ARIMA and VAR models.

Dynamic models with time-shifted explanatory variables. The Koyck transformation . ?Partial adjustment? and ?adaptive expectation? models. Granger's causality tests. Stationarity, unit roots and cointegration. Modelling of volatility: ARCH - and the GARCH-models.

Lectures

## Assessment

The examination comprises a written test at the end of the course and compulsory assignments, (laboratory sessions). Three grades are awarded for the course: not passed, passed, and passed with distinction.

"If there are special reasons for doing so, an examiner may make an exception from the method of assessment indicated and allow a student to be assessed by another method. An example of special reasons might be a certificate regarding special pedagogical support from the University's disability coordinator."