Course page
Course page
APPLIED ECONOMETRIC TIME SERIES
APPLIED ECONOMETRIC TIME SERIES
provided by Oxford Brookes University
provided by Oxford Brookes University
Course Details
(last updated: September 2025 )
Instructor (main contact person): Dr Dimitrios Asteriou
Academic Officer: Dr Dimitrios Asteriou
Term in which taught: Second Semester: January-February 2026 (five weeks module).
Application deadline: none, except please apply at least a week ahead of the first session.
Pre-requisites: none, beyond acceptance to an economics or related PhD.
Summary course description: This module is designed to provide students with vigorous training in applied time series econometrics. Emphasis will be given to financial econometric applications. It also covers some researcher and career development material (see "further details" below).
Taught sessions:
It covers topics on characteristics of macroeconomic and financial data; basic concepts of linear regression (simple and multiple); the problems related with the classical linear regression model; linear and non-linear time series models: stationary time series models, ARMA models; stochastic volatility models; GARCH models and diagnostic tests; and multivariate conditional time-varying models.
The course aims to introduce students to the use of econometric packages for data analysis, estimation and interpretation of the results. Students successfully completing the course will be able to (a) collect and organize their own data, (b) collate and identify key references, (c) structure their own working time towards the aim of analyzing and writing up their own research project and (d) present the research project’s findings in a well organized manner and be prepared to defend their results.
Students are expected to do several computer-based projects in Econometric Software such as Stata and/or EViews. module introduces a range of practical quantitative tools for data collection and data analysis. It also covers some researcher and career development material
How to Apply
In order to apply for this course, you need to (1) send an Application Email to the Instructor and to (2) fill the Confirmation Form at the bottom of this page. Please complete both steps according to the instructions reported below.
Step 1 of 2: Application Email. Send an email to the Instructor of this course and to the Academic Officer of the host university: names and contact links are reported above in the section 'Course Details' (right-click on the name to copy their email address, or left-click on the name to create a new email with your default software). Please send your application email using your university email account. Sample email:
To: [INSTRUCTOR]
Cc: [ACADEMIC OFFICER]
Object: Application to your online PhD course (ShOT/SEDOT)
Dear Prof [INSTRUCTOR],
My name is [STUDENT NAME], PhD student at [HOME UNIVERSITY]. I would like to attend online your PhD course in [COURSE TITLE], shared through the ShOT/SEDOT network. Please let me know if I can join the course, I look forward to hearing from you.
Step 2 of 2: Confirmation Form. Please answer all the questions in the Confirmation Form below and press the Submit button in the last page. All fields are required. You will receive an automated notification by email.