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Econometrics II
Part A: Introduction to Time Series Analysis
Part B: Multivariate Time Series Analysis

Module Code: EC7004

  • ECTS Credit: 10
  • Mandatory/Optional: Mandatory
  • Module Coordinator: Prof. Gaia Narciso and Prof. Agustin Benetrix

Aims of Module

The aim of this module is to provide students with the skills required to undertake independent applied research using modern econometric methods. The module attempts to provide a balance between theory and applied research.

Module Delivery

The module will be delivered through a combination of lectures (18 hours) dealing primarily with theoretical issues and workshops (18 hours) involving smaller group work focussing on applying the theoretical concepts explored in lectures to real data.

Learning Outcomes

Students attending this module will deepen their theoretical knowledge of a range of topics in econometrics and develop the necessary practical skills to estimate their own macro economic models. The workshops accompanying lectures will instruct students in the use of econometrics software necessary for applied work.

Syllabus

Topics covered in this module include:

  • Stationary Times series
  • Unit roots and cointegration
  • Simultaneous equation models
  • VAR
  • Panel VAR models

Assessment

Assessment for the module is based on a combination of coursework, consisting of problem sheets and one supervised applied project, and a 3 hour examination.