ADVANCED TIME SERIES ECONOMETRICS
Credit points: 15
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.
FacultyFaculty of Business, Economics and Law
Subject Co-ordinatorLaszlo Konya
Available to Study Abroad StudentsNo
Subject year levelYear Level 4 - UG/Hons/1st Yr PG
Incompatible subjects ECO3ATE
|Resource Type||Title||Resource Requirement||Author and Year||Publisher|
|Readings||Applied Econometric Time Series (2nd ed.)||Prescribed||Enders, W.||WILEY, HOBOKEN 2004, 2ND EDITION.|
|Readings||Introduction to modern timeseries analysis||Recommended||Kirchgassner, G., Wolters, J.||SPRINGER, 2008|
|Readings||Time series models for business and economic forecasting||Recommended||Franses, P. H.||CAMBRIDGE UNIVERSITY PRESS, 1998|
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Melbourne, 2014, Semester 1, Day
Maximum enrolment sizeN/A
Subject Instance Co-ordinatorLaszlo Konya
One 2.0 hours lecture per week on weekdays during the day from week 10 to week 22 and delivered via face-to-face.
One 1.0 hours workshop per week on weekdays during the day from week 10 to week 22 and delivered via face-to-face.
|three 1,500-word assignments||100|