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Time Series Analysis

Course Description: This course provides an introduction to the standard methods widely used in the analysis of economic and financial time series. Topics covered include univariate linear stochastic models, including unit root tests, as well as the construction and forecasting of ARMA models. The course also addresses the application of regression techniques to integrated time series. Finally, students are introduced to univariate nonlinear stochastic models, with a focus on modeling volatility through GARCH family models. The course primarily focuses on applied modeling and the interpretation of results using real-world data. Students will also develop and refine a set of skills, including data extraction from specialized databases and handling complex estimation and modeling problems using modern software packages such as EViews and/or RATS.
Credit hours: 3
Objectives of the course :

Understanding the standard economic methods used in analyzing economic and financial time series.
Mastering unit root tests to assess the stationarity properties of time series data.
3. Building, estimating, and forecasting univariate linear stochastic models, with a particular focus on ARMA models.
4. Appropriately applying regression techniques to integrated time series.
5- Understanding and appreciating nonlinear univariate stochastic models, with a focus on GARCH-family volatility models.
6- Developing skills in experimental modeling and interpreting results using real-world data.
7- Gaining hands-on experience in extracting data from specialized databases and handling estimation and modeling tasks using software such as EViews and/or RATs.

Course outputs :

1.0 Knowledge and Understanding
1.1 Demonstrates an understanding of fundamental concepts in time series econometrics and stochastic processes.
1.2 Explains unit root tests, stationarity, and ARMA/ARIMA modeling frameworks.
1.3 Applies standard tools to analyze and solve economic problems across a broad range of economic fields.

 

2.0 Skills
2.1 Demonstrates critical thinking in evaluating standard models and their outcomes.
2.2 Employs information sources and computer applications to analyze stability, forecasting, and volatility using econometrics software.

Additional information:
  • Last updated: 2026-04-26

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