Coursepage of Time series analysis


Location: Room 511 Mita campus

Time slot: Wednesday 4:30pm-6pm

Semester: Fall 2017

Description of the class

The main objective of this course is to develop the skills needed to do work in the industry or empirical research in fields operating with time series data. The course aims to provide students with techniques and receipts for estimation and assessment of quality of economic models with time series data. Special attention will be placed on limitations and pitfalls of different methods and their potential fixes. The course will also emphasize recent developments in Time Series Analysis and will present some open questions and areas of ongoing research. We will be using the software R, but students can do their homework using their own software.


The evaluation will be based on the final take-home exam (100% of the final grade). In addition, the students are expected to spend a significant amount of their time working on the theoretical homeworks and the applied homeworks. Serious and consistent work will count in the final grade (i.e. adding a positive bias).

Final take-home exam

The final take-home exam is available here . Please email me your work by Wednesday 2017/01/24 23:59pm.

Class material

The class follows Time Series Analysis (from J.D Hamilton) book content. We aim to cover Ch. 3-5 and Ch. 21 of the book.


Theoretical homework

Applied homework