Monash University Handbooks 2008

ETF5200 - Applied econometrics

6 points, SCA Band 3, 0.125 EFTSL

Postgraduate Faculty of Business and Economics

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:

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.

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