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ES50088: Forecasting economic and financial variables

Follow this link for further information on academic years Academic Year: 2014/5
Further information on owning departmentsOwning Department/School: Department of Economics
Further information on credits Credits: 6
Further information on unit levels Level: Masters UG & PG (FHEQ level 7)
Further information on teaching periods Period: Semester 2
Further information on unit assessment Assessment Summary: CW 30%, EX 70%
Further information on unit assessment Assessment Detail:
  • Coursework (CW 30%)
  • Examination (EX 70%)
Further information on supplementary assessment Supplementary Assessment: Reassessment exam (where allowed by programme regulations)
Further information on requisites Requisites: While taking this unit you must take ES50060
Further information on descriptions Description: Aims:
The aims of this module are:
(a) To develop the statistical and econometric techniques and the appropriate metrics and evaluate them using actual data.
(b) to identify and assess the practical value of models designed to improve forecasting of the major economic and financial variables.

Learning Outcomes:
By the end of the module the student should:
(i) Appreciate the important features that describe time series data, compute and interpret the data series.
(ii) Understand the definitions of the important stochastic processes used in time series modelling, and the properties of those models
(iii) Appreciate and apply key concepts of estimation and forecasting in time series data.
(iv) Understand the key features of multivariate time series.
(v) Use the different criteria used for forecast evaluation and appreciate their strengths and limitations.

Ability to develop rigorous arguments through precise use of concepts and mathematical models (Taught/Facilitated/Assessed)
Ability to select, analyse and present numerical data using econometric packages (T/F/A)
Ability to select, summarise and synthesis written information from multiple sources (T/F/A)
Ability to select and use appropriate ideas to produce a coherent response to a pre-set question (T/F/A)
Comprehensive and scholarly written communication (T/F/A)
Concise and effective written communication (e.g. briefings / written exams) (T/F/A)
Effective oral communication (e.g. lecture question and answer) (F)
Ability to formulate a research question, then develop and present an original & coherent answer (T/F/A)
Ability to produce work to agreed specifications and deadlines (T/F/A).

The topics included in the module are:
(a) Univariate Time series Modelling and Forecasting
(b) Multivariate Models and Forecasting
(c) Modelling Volatility
(d) Simulation Methods
(e) Practical experience in analysing financial and economic time series.
Further information on programme availabilityProgramme availability:

ES50088 is Optional on the following programmes:

Department of Economics
* This unit catalogue is applicable for the 2014/15 academic year only. Students continuing their studies into 2015/16 and beyond should not assume that this unit will be available in future years in the format displayed here for 2014/15.
* Programmes and units are subject to change at any time, in accordance with normal University procedures.
* Availability of units will be subject to constraints such as staff availability, minimum and maximum group sizes, and timetabling factors as well as a student's ability to meet any pre-requisite rules.