Monash University Handbook 2010 Undergraduate - Unit

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 goals associated with 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%

Chief examiner(s)

John Stapleton

Contact hours

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

Prerequisites

Students must have passed either ETC2410 or ECC2410 before undertaking this unit

Prohibitions

ETC4345