Postgraduate - UnitETF5200 - Applied time series econometrics

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.

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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.

Level	Postgraduate
Faculty	Faculty of Business and Economics
Organisational Unit	Department of Econometrics and Business Statistics
Offered	Caulfield First semester 2015 (Evening)
Coordinator(s)	Professor Jiti Gao

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:

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: 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.

Chief examiner(s)

Professor Jiti Gao

Prerequisites

Students must be enrolled in course code 4412, 3816 or 3822 or must have passed ETF3200 or ETF9200 or ETF3300 or ETC3410 or ETC5341 or ETF5320 or by permission.