Time series analysis and econometrics

A time series consists of observations which are measured and which has a natural order in time. Examples encountered on a daily basis are daily stock prices, weather etc. Time series analysis is the part of statistics that analyse and develop tools for the analysis of time series. The methods aim at extracting essential information from the time series and, for example,use it to make predictions. The department has a great tradition in time series analysis, especially with applications in economics. Statistical methods focused on applications in economics, are commonly known as econometrics. Time series analysis and econometrics are the largest areas of research at the department, a tradition that was founded by Herman Wold, who was a professor at the department for many years.

Much of the research in time series analysis and econometrics deals with tests for unit roots and cointegration. Several employees are involved in the project Solving Macroeconomic Problems Using Non-Stationary Panel Data conducted in collaboration with Professors David Edgerton, Lund University, and Joakim Westerlund, Gothenburg University.