units

ETC5345

Faculty of Business and Economics

Monash University

Postgraduate - Unit

This unit entry is for students who completed this unit in 2015 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

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.

LevelPostgraduate
FacultyFaculty of Business and Economics
Organisational UnitDepartment of Econometrics and Business Statistics
OfferedClayton Second semester 2015 (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.

Outcomes

The learning goals associated with this unit are to:

  1. model and forecast stationary autoregressive and moving average time series
  2. test for unit roots in univariate time series
  3. analyse the relationships between multiple, stationary time series
  4. test for, estimate and interpret the long run relationships between non-stationary time series
  5. describe the use of methods learnt during the course of this unit in business and economics.

Assessment

Within semester assessment: 40%
Examination: 60%

Workload requirements

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

See also Unit timetable information

Chief examiner(s)

Prerequisites

Students must have passed ETC2410 or ETC3440 or equivalent before undertaking this unit.