ADVANCED TIME SERIES ECONOMETRICS

ECM4ATE

Not currently offered

Credit points: 15

Subject outline

The purpose of this subject is to introduce students to the theoretical and applied aspects of multivariate time series modelling in Economics and Finance. This subject provides students with a basic understanding of the linear algebra, multivariate calculus and simultaneous-equation models needed to work in this area. Topics covered include VAR modelling, Granger causality analysis, error correction models, cointegration, impulse response functions and variance decompositions. There will be a strong focus on applications from Business, Finance and Economics and on the use of the EViews time series package.

SchoolLa Trobe Business School

Credit points15

Subject Co-ordinatorLaszlo Konya

Available to Study Abroad StudentsNo

Subject year levelYear Level 4 - UG/Hons/1st Yr PG

Exchange StudentsNo

Subject particulars

Subject rules

Prerequisites ECM3ITE or permission from the coordinator

Co-requisitesN/A

Incompatible subjects ECO3ATE

Equivalent subjectsN/A

Special conditionsN/A

Readings

Resource TypeTitleResource RequirementAuthor and YearPublisher
ReadingsApplied Econometric Time Series (2nd ed.)PrescribedEnders, W.WILEY, HOBOKEN 2004, 2ND EDITION.
ReadingsIntroduction to modern timeseries analysisRecommendedKirchgassner, G., Wolters, J.SPRINGER, 2008
ReadingsTime series models for business and economic forecastingRecommendedFranses, P. H.CAMBRIDGE UNIVERSITY PRESS, 1998

Graduate capabilities & intended learning outcomes

01. Upon successful completion of this subject, you should be able to understand various univariate and multivariate time-series econometric procedures.

Activities:
Lectures, tutorials, prescribed reading, assignments, class discussions
Related graduate capabilities and elements:
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills

02. Upon successful completion of this subject, you should be able to identify the appropriate procedures for various problems in economics and finance.

Activities:
Lectures, tutorials, prescribed reading, assignments, class discussions
Related graduate capabilities and elements:
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills

03. Upon successful completion of this subject, you should be able to perform these procedures and interpret their results.

Activities:
Lectures, tutorials, prescribed reading, assignments, class discussions
Related graduate capabilities and elements:
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills

04. Upon successful completion of this subject, you should be able to apply these techniques with EViews.

Activities:
Lectures, tutorials, prescribed reading, assignments, class discussions
Related graduate capabilities and elements:
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills

05. Upon successful completion of this subject, you should be able to write a report and present your results.

Activities:
Lectures, tutorials, prescribed reading, assignments, class discussions
Related graduate capabilities and elements:
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills

Subject options

Select to view your study options…

Start date between: and    Key dates

Subject not currently offered - Subject options not available.