units

ETF5200

Faculty of Business and Economics

18 September 2017 22 December 2024
Monash University

Postgraduate - Unit

This unit entry is for students who completed this unit in 2013 only. For students planning to study the unit, please refer to the unit indexes in the the current edition of the Handbook. If you have any queries contact the managing faculty for your course or area of study.

print version

6 points, SCA Band 3, 0.125 EFTSL

To find units available for enrolment in the current year, you must make sure you use the indexes and browse unit tool in the current edition of the Handbook.

LevelPostgraduate
FacultyFaculty of Business and Economics
Organisational UnitDepartment of Econometrics and Business Statistics
OfferedCaulfield First semester 2013 (Evening)
Coordinator(s)Professor Param Silvapulle

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.

Outcomes

The learning goals associated with this unit are to:

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

Assessment

Within semester assessment: 60%
Examination: 40%

Chief examiner(s)

Professor Paramsothy Silvapulle

Contact hours

3 hours per week

Prerequisites

Students must be enrolled in course code 4412, 3816 or 3822 or must have passed ETF3200 or ETF9200 or ETF3300 or ETF9300.