Time series analysis for business and economics
Dr David Harris
6 points
* Two 1-hour lectures and one 2-hour tutorial per week
*
Second semester
* Clayton
* Prerequisite: ECM2450
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%
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