ETC3450

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: ETC2450

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%