Authorised by Academic Registrar, April 1996
Objectives On successful completion of this subject students should be able to understand the characteristics of time series data in accounting, finance and economics; apply advanced univariate and multivariate statistical methods in the development and analysis of models which forecast such data; test hypotheses concerning these models; understand the relative strengths and weaknesses of the various approaches.
Synopsis Multivariate Box-Jenkins modelling; seasonality; causality testing; unit root testing; vector autoregressive modelling and cointegration analysis.
Assessment Written (2 assignments [computing and reports]): 40% + Examination (2 hours): 60%