Leader: Mr John Stapleton

Offered

Clayton Second semester 2008 (Day)

Synopsis

This unit provides an introduction to modern time series methods. The topics covered include a review of stationary, univariate ARMA models, stochastic and deterministic trends, testing for unit roots, vector auto regressions, multivariate cointegration and error correction models.

Objectives

The learning objectives of this unit are to:

• model and forecast stationary autoregressive and moving average time series;
• test for unit roots in univariate time series;
• analyse the relationships between multiple, stationary time series;
• test for, estimate and interpret the long run relationships between non-stationary time series.

Assessment

Within semester assessment: 40%
Examination (2 hours): 60%

Contact hours

Two 1-hour lectures and one 2-hour tutorial per week

Prerequisites

ETC2410