ADVANCED TIME-SERIES ECONOMETRICS

BUS5ATE

2018

Credit points: 15

Subject outline

The purpose of this subject is to introduce you to the theoretical and applied aspects of univariate and multivariate time series modelling in business, economics, and finance. Topics covered include VAR modelling, Granger causality analysis, impulse response analysis, cointegration and error correction models. There will be a strong focus on applications and on the use of the econometrics packages such Eviews or R.

SchoolLa Trobe Business School

Credit points15

Subject Co-ordinatorJae Kim

Available to Study Abroad StudentsYes

Subject year levelYear Level 5 - Masters

Exchange StudentsYes

Subject particulars

Subject rules

PrerequisitesN/A

Co-requisitesN/A

Incompatible subjectsN/A

Equivalent subjectsN/A

Special conditionsN/A

Graduate capabilities & intended learning outcomes

01. Provide a full and accurate explanation of relevant time-series econometric techniques and the assumptions that underpin these techniques.

Activities:
Seminars, readings, class discussions and all four assessment items.
Related graduate capabilities and elements:
Literacies and Communication Skills (Writing,Quantitative Literacy)
Inquiry and Analytical Skills (Critical Thinking,Creative Problem-solving,Inquiry/Research)
Discipline -Specific Knowledge and Skills (Discipline-Specific Knowledge and Skills)

02. Prepare data for analysis [including data cleaning and checking]

Activities:
Explicitly teaching the key assumptions and principles; modelling of techniques.
Related graduate capabilities and elements:
Inquiry and Analytical Skills (Critical Thinking,Creative Problem-solving,Inquiry/Research)
Inquiry and Analytical Skills (Critical Thinking,Creative Problem-solving,Inquiry/Research)
Discipline -Specific Knowledge and Skills (Discipline-Specific Knowledge and Skills)

03. Demonstrate the ability to apply time-series econometric techniques using relevant statistical software.

Activities:
Explicitly teaching and modelling techniques; applying techniques to secondary data using relevant software.
Related graduate capabilities and elements:
Literacies and Communication Skills (Writing,Quantitative Literacy)
Inquiry and Analytical Skills (Critical Thinking,Creative Problem-solving,Inquiry/Research)
Inquiry and Analytical Skills (Critical Thinking,Creative Problem-solving,Inquiry/Research)
Discipline -Specific Knowledge and Skills (Discipline-Specific Knowledge and Skills)

04. Demonstrate the ability to correctly interpret the output of time-series econometric procedures.

Activities:
Explicitly teaching and modelling interpretation of outputs; explaining meaning of time-series econometric output to classmates.
Related graduate capabilities and elements:
Literacies and Communication Skills (Writing,Quantitative Literacy)
Inquiry and Analytical Skills (Critical Thinking,Creative Problem-solving,Inquiry/Research)
Inquiry and Analytical Skills (Critical Thinking,Creative Problem-solving,Inquiry/Research)
Discipline -Specific Knowledge and Skills (Discipline-Specific Knowledge and Skills)

05. Write a report detailing a time-series econometric method and results in an accurate and scholarly way.

Activities:
Explicitly teaching characteristics of scholarly reporting of time-series econometric analysis.
Related graduate capabilities and elements:
Literacies and Communication Skills (Writing,Quantitative Literacy)
Literacies and Communication Skills (Writing,Quantitative Literacy)
Inquiry and Analytical Skills (Critical Thinking,Creative Problem-solving,Inquiry/Research)
Discipline -Specific Knowledge and Skills (Discipline-Specific Knowledge and Skills)

Subject options

Select to view your study options…

Start date between: and    Key dates

Melbourne, 2018, Semester 1, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment information

Subject Instance Co-ordinatorJae Kim

Class requirements

Seminar Week: 10 - 22
One 2.0 hours seminar per week on weekdays during the day from week 10 to week 22 and delivered via face-to-face.

Laboratory Class Week: 11 - 22
One 1.0 hours laboratory class per week on weekdays during the day from week 11 to week 22 and delivered via face-to-face.

Assessments

Assessment elementComments% ILO*
3 x 1500 word individual assignments100 01, 02, 03, 04, 05