Time series econometrics

The Department of Statistics has a long tradition of research within times series econometrics. The tradition started in 1942 when Herman Wold become professor at the department. Econometrics is the field concerning applications of statistical methods on problems within economics, and the methods are developed for applied problems in economics. Time series econometric deal with economic data sorted over time, and the aim is to analyse associations between different economic variables and their development over time. For instance, the government need to know how the gross domestic product (GDP), inflation and unemployment will develop in order to make the national budget.

One research area is to improve forecast to just these variables (GDP, inflation and unemployment). We are living in a ever-changing world affected by various decision. These decisions result in associations between economic variables changing over time. Another research area is how to model structural changes over time using non-linear models. With such models, it is possible to get increased understanding of various economic phenomena.

Responsible researcher: Johan Lyhagen

Last modified: 2021-08-31