Economics: Time Series Analysis

<p>In econometrics, data is either cross-sectional (e.g. different individuals or countries) or time series (development over time). In this course, you will devote yourself to the analysis of data that are time stamped and the specialised econometric tools needed to analyse time series data.</p><p>Time series data occur in a sequence and represent different points in time. Thus, we can plot time series data in a figure. For a trained eye, such time series plots can be extremely informative. In fact, just looking at a time series plot ("eyeball econometrics") is often enough to determine the most appropriate econometric approach. Because of this, the course is organised based on how data look. </p><p>A key distinction is whether the data tend to move around a mean value or if it have a long term upward or downward trend. Some time series, like GDP or unemployment growth, never wander far away from their mean. Other time series are trending. Examples include prices, income, exchange rates and consumption. If a time series is trending, you need different methods to analyse compared to when it is not. </p><p>Thus, to identify the most appropriate approach, you need to take the look and length of a time series into account. In this course, you will learn how to do this. You will developing an in-depth understanding for what works and what doesn’t based on theoretical knowledge and hands-on experience with a range of approaches. This will leave you with a pallet of tools that can be selectively deployed depending on how the data look. And if you find yourself in uncharted territory, the focus we place on in-depth understanding will help you find a solution.</p><p> </p>