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Econometrics 3b: Time Series Data

Course within the Masterprogramme in Economics.

This course introduces students to the basic knowledge and tools needed for the statistical analysis of time series data. The course is a mixture of lectures and exercises in the computer lab together with the instructor, with a strong emphasis on learning by doing. After completing this course, students should be able to continue studying time series analysis at the level of a second-year graduate course or begin working with analysis of time series data for a company or government agency.

  • Course structure

    This is a 7.5 credit course.

    Course material will be available through the learning platform Athena during the course.

    Teaching format

    Instruction will be in the form of lectures and hands-on exercises in the computer lab. The course will be inEnglish.


    The examination consists of:

    • Three assignments carried out in groups of two,
    • compulsory pre-seminar at the end of the course, where each student verbally discusses a preliminaryversionof the course essay, and
    • individually completed course essay


    Examiner and Course director: Michael Lundholm

  • Schedule

    The schedule will be available no later than one month before the start of the course. We do not recommend print-outs as changes can occur. At the start of the course, your department will advise where you can find your schedule during the course.
  • Course literature

    Note that the course literature can be changed up to two months before the start of the course.

    • Stock & Watson, Introduction to Econometrics
    • Articles
  • Contact

    Course administrator master's level
    Academic advisor master's level
    Director of studies first and second level