Time series analysis for business and economics
Dr Merran Evans and Dr Brett Inder
6 points * Two 1-hour lectures and one 2-hour tutorial per week * First semester * Clayton * Prerequisite: ECM2450
Objectives On successful completion of this subject students should be able to understand the characteristics of time series data in economics, finance and accounting; apply advanced univariate and multivariate statistical methods in the development and analysis of models which forecast such data; test hypotheses concerning these models; understand the relative strengths and weaknesses of the various approaches.
Synopsis Multivariate Box-Jenkins modelling; seasonality; causality testing; unit root testing; vector autoregressive modelling and cointegration analysis.
Assessment Written (2 assignments [computing and reports]): 40% * Examinations (2 hours): 60%
Recommended texts
Mills T Time series techniques for economists CUP, 1991