ECONOMETRIC METHODS

FIN5EME

2018

Credit points: 15

Subject outline

In this subject you will cover the modern regression and time series methods applicable to business and financial data. The main topics include: Application of the regression methods to corporate and business decisions; Estimation of asset pricing models and its applications; Efficient market hypothesis and financial asset predictability; Modelling long-run relationships in business and economics; and Modelling financial volatility and its application to risk management.  Strong emphasis will be given to application of the methods using the econometrics package Eviews.

SchoolLa Trobe Business School

Credit points15

Subject Co-ordinatorPetko Kalev

Available to Study Abroad StudentsYes

Subject year levelYear Level 5 - Masters

Exchange StudentsYes

Subject particulars

Subject rules

Prerequisites ECO5SBF or FIN5SBF or BUS5SBF

Co-requisitesN/A

Incompatible subjects ECO2EME

Equivalent subjectsN/A

Special conditionsN/A

Graduate capabilities & intended learning outcomes

01. Understand simple regression

Activities:
lecture, tutorial, and assignment
Related graduate capabilities and elements:
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Discipline -Specific Knowledge and Skills

02. Understand the properties of good estimators, the Gauss-Markov Theorem and the assumptions it requires.

Activities:
lecture, tutorial, and assignment
Related graduate capabilities and elements:
Discipline -Specific Knowledge and Skills

03. Critically analyse an estimated regression model

Activities:
lecture, tutorial, and assignment
Related graduate capabilities and elements:
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Discipline -Specific Knowledge and Skills

04. Develop reasonable estimation procedures for multiple linear regression in the presence of heteroskedasticity and autocorrelation

Activities:
lecture, tutorial, and assignment
Related graduate capabilities and elements:
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Discipline -Specific Knowledge and Skills

05. Use the software package EViews, and to diagnose violation of assumptions, and perform estimation and hypothesis tests

Activities:
lecture, tutorial, and assignment
Related graduate capabilities and elements:
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Discipline -Specific Knowledge and Skills

06. Apply the econometric methods to solve real-world problems

Activities:
lecture, tutorial, and assignment
Related graduate capabilities and elements:
Inquiry and Analytical Skills
Inquiry and Analytical 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

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

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

Tutorial Week: 10 - 22
One 1.0 hours tutorial per week on weekdays during the day from week 10 to week 22 and delivered via face-to-face.

Assessments

Assessment elementComments% ILO*
one 3-hour final examination60 01, 02, 03, 04, 05, 06
2 assignments (20% each, each with 1500 words)40 01, 02, 03, 04, 05, 06

Melbourne, 2018, Semester 2, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment information

Subject Instance Co-ordinatorPetko Kalev

Class requirements

Computer Laboratory Week: 32 - 43
One 1.0 hours computer laboratory per week on weekdays during the day from week 32 to week 43 and delivered via face-to-face.

Lecture Week: 31 - 43
One 2.0 hours lecture per week on weekdays during the day from week 31 to week 43 and delivered via face-to-face.

Tutorial Week: 32 - 43
One 1.0 hours tutorial per week on weekdays during the day from week 32 to week 43 and delivered via face-to-face.

Assessments

Assessment elementComments% ILO*
one 3-hour final examination60 01, 02, 03, 04, 05, 06
2 assignments (20% each, each with 1500 words)40 01, 02, 03, 04, 05, 06