Leader: Professor Param Silvapulle and Dr Paul Kim

Offered

Caulfield First semester 2008 (Evening)

Synopsis

Presents newly developed econometric methodology in model building and model evaluation in general. Recent literature on assessing business time series properties, non-linear time series models, multiple cointegration, impulse response function and variance decomposition is introduced. Examples in business, economics and finance will be drawn to illustrate the application of techniques covered in this unit.

Objectives

The learning goals associated with this unit are to:

• test the properties of economic and financial time series under various conditions such as structural breaks and asymmetric assessment due to business cycles
• test if the modelling framework for the relationship between variables should be linear or nonlinear
• test for the existence of long run relationship and if it is nonlinear and stable
• conduct multivariate framework time series analysis based on vector auto regression
• test for the presence of multi-long run relationships and estimate the vector auto regressive model.

Assessment

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

Contact hours

One 2-hour lecture and one 1-hour tutorial/practical per week

Prerequisites

Students must be enrolled in course codes 3816 or 3822 or must have passed ETF3200, ETF9200 or ETF9300.