Introduction to Time Series and Dynamic Econometrics

Vrije Universiteit Amsterdam

Course Description

  • Course Name

    Introduction to Time Series and Dynamic Econometrics

  • Host University

    Vrije Universiteit Amsterdam

  • Location

    Amsterdam, The Netherlands

  • Area of Study

    Business Analytics, Economics

  • Language Level

    Taught In English

  • Course Level Recommendations


    ISA offers course level recommendations in an effort to facilitate the determination of course levels by credential evaluators.We advice each institution to have their own credentials evaluator make the final decision regrading course levels.

    Hours & Credits

  • ECTS Credits

  • Recommended U.S. Semester Credits
  • Recommended U.S. Quarter Units
  • Overview

    Course Objective
    This course introduces students to time series analysis and dynamic econometric models for economics, business and finance.

    Course Content
    This course covers both theoretical and practical aspects of time series econometrics including the analysis of stationary and non-stationary stochastic processes in economics, business and finance.

    The students are introduced to autoregressive moving average (ARMA) models, autoregressive distributed lag (ADL) models, and error correction models (ECM). Furthermore, the course provides both
    theoretical and practical insights into parameter estimation for time-series models and the use of these models for forecasting, testingfor Granger causality, and performing policy analysis using impulse
    response functions.

    Finally, students become familiar with the fundamental problem of spurious regression in time-series analysis. We find a solution to this problem by taking a journey into the theory and practice behind unit-root tests, cointegration tests and error-correction representationtheorems.

    Additional Information Teaching Methods
    Lectures and practical classes. During practical classes time will be made for discussing exercises.

    Method of Assessment
    Final exam and group assignments – Individual assessment.

    All relevant material can be found in the lecture notes and other study
    material provided by the teacher.

    Recommended optional reading material:

    • J. Stock and M. Watson, 2011, Introduction to Econometrics. Prentice Hall. (all editions)
    • P. Brockwell and R. Davis, 2010, Introduction to Time Series and Forecasting. Springer.
    • C. Brooks, 2014, Introductory Econometrics for Finance. Cambridge University Press.

    Additional Information Target Audience
    This course in the minor Applied Econometrics is targeted at both econometrics and non-econometrics students that have a basic knowledge and understanding of mathematics, probability, statistics and computing.

    Recommended background knowledge
    This course builds on the foundations laid either in the sequence of courses in `Kwantitatieve Methoden` (in the Economics programme) or in that of `Statistics` and `Business Mathematics` (in the Business
    Administration programme). It assumes familiarity with probability and statistics. This material corresponds more or less to Part I (Chapters 1-3) in Stock & Watson, and students are recommended to
    refresh their memory on this prior to the first lecture.

Course Disclaimer

Courses and course hours of instruction are subject to change.

Some courses may require additional fees.


This site uses cookies to store information on your computer. Some are essential to make our site work; others help us improve the user experience. By using the site, you consent to the placement of these cookies.

Read our Privacy Policy to learn more.