ADVANCED TIME SERIES ECONOMETRICS

ECM4ATE

2014

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.

FacultyFaculty of Business, Economics and Law

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

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

Subject options

Select to view your study options…

Start date between: and    Key dates

Melbourne, 2014, Semester 1, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment information

Subject Instance Co-ordinatorLaszlo Konya

Class requirements

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.

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

Assessments

Assessment elementComments%
three 1,500-word assignments100