INTRODUCTION TO TIME SERIES ECONOMETRICS
ECM3ITE
2015
Credit points: 15
Subject outline
The purpose of this subject is to introduce students to the theoretical and applied aspects of univariate time-series modeling in Economics and Finance. The topics to be discussed include the motivation for time series analysis and forecasting, time series decomposition, exponential smoothing, difference equations, the Box-Jenkins methodology, intervention analysis, transfer function models, stochastic trends, and unit-root testing. There will be a strong focus on applications and on the use of the EViews time series software package.
School: La Trobe Business School
Credit points: 15
Subject Co-ordinator: Heidi Ryoo
Available to Study Abroad Students: Yes
Subject year level: Year Level 3 - UG
Exchange Students: Yes
Subject particulars
Subject rules
Prerequisites: ECM2IE or ECO2EME or permission from the coordinator
Co-requisites: N/A
Incompatible subjects: N/A
Equivalent subjects: N/A
Special conditions: N/A
Learning resources
Readings
| Resource Type | Title | Resource Requirement | Author and Year | Publisher |
|---|---|---|---|---|
| Readings | Elements of forecasting (4th ed.) | Prescribed | Diebold, F. | SOUTH-WESTERN COLLEGE PUBLISHING: CINCINNATI, 2007 |
| Readings | An introduction to applied econometrics: A time series approach | Recommended | Patterson, K. | PALGRAVE MACMILLAN:UK ACADEMIC, 1998 |
| Readings | Applied econometric time series | Recommended | Enders, W. | 3RD EDN, JOHN WILEY, 2010 |
| Readings | Time series models for business and economic forecasting | Recommended | Franses, 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, workshops, prescribed reading
- Related graduate capabilities and elements:
- Information Literacy(Information Literacy)
- Creative Problem-solving(Creative Problem-solving)
- Critical Thinking(Critical Thinking)
02. Upon successful completion of this subject, you should be able to identify the appropriate procedures for various problems in economics, finance and business in general.
- Activities:
- Lectures, workshops, prescribed reading
- Related graduate capabilities and elements:
- Critical Thinking(Critical Thinking)
- Creative Problem-solving(Creative Problem-solving)
- Information Literacy(Information Literacy)
03. Upon successful completion of this subject, you should be able to perform these procedures and interpret their results.
- Activities:
- Lectures, workshops, prescribed reading
- Related graduate capabilities and elements:
- Critical Thinking(Critical Thinking)
- Information Literacy(Information Literacy)
- Creative Problem-solving(Creative Problem-solving)
04. Upon successful completion of this subject, you should be able to apply these techniques with EViews.
- Activities:
- Lectures, workshops, prescribed reading
- Related graduate capabilities and elements:
- Creative Problem-solving(Creative Problem-solving)
- Critical Thinking(Critical Thinking)
- Information Literacy(Information Literacy)
05. Upon successful completion of this subject, you should be able to write a report and present your results.
- Activities:
- Lectures, workshops, prescribed reading
- Related graduate capabilities and elements:
- Information Literacy(Information Literacy)
- Creative Problem-solving(Creative Problem-solving)
- Critical Thinking(Critical Thinking)
Melbourne, 2015, Semester 1, Day
Overview
Online enrolment: Yes
Maximum enrolment size: N/A
Enrolment information:
Subject Instance Co-ordinator: Heidi Ryoo
Class requirements
TutorialWeek: 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.
LectureWeek: 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.
Assessments
| Assessment element | Comments | % | ILO* |
|---|---|---|---|
| Three 1,000-word assignments | 100 | 01, 02, 03, 04, 05 |