ADVANCED TIME-SERIES ECONOMETRICS

BUS5ATE

Not currently offered

Credit points: 15

Subject outline

The purpose of this subject is to introduce you to the theoretical and applied aspects of univariate and multivariate time series modelling in business, economics, and finance. Topics covered include VAR modelling, Granger causality analysis, impulse response analysis, cointegration and error correction models. There will be a strong focus on applications and on the use of the econometrics packages such Eviews or R.

SchoolLa Trobe Business School

Credit points15

Subject Co-ordinatorJae Kim

Available to Study Abroad/Exchange StudentsYes

Subject year levelYear Level 5 - Masters

Available as ElectiveNo

Learning ActivitiesSeminars, readings, class discussions and assessment items.

Capstone subjectNo

Subject particulars

Subject rules

Prerequisites Students must be enrolled in LHCOM (Bachelor of Commerce (Honours)), Masters by research, or LDPH (PhD) to do this subject

Co-requisitesN/A

Incompatible subjectsN/A

Equivalent subjectsN/A

Quota Management StrategyN/A

Quota-conditions or rulesN/A

Special conditionsN/A

Minimum credit point requirementN/A

Assumed knowledgeN/A

Career Ready

Career-focusedNo

Work-based learningNo

Self sourced or Uni sourcedN/A

Entire subject or partial subjectN/A

Total hours/days requiredN/A

Location of WBL activity (region)N/A

WBL addtional requirementsN/A

Graduate capabilities & intended learning outcomes

Graduate Capabilities

Intended Learning Outcomes

01. Provide a full and accurate explanation of relevant time-series econometric techniques and the assumptions that underpin these techniques.
02. Prepare data for analysis [including data cleaning and checking]
03. Demonstrate the ability to apply time-series econometric techniques using relevant statistical software.
04. Demonstrate the ability to correctly interpret the output of time-series econometric procedures.
05. Write a report detailing a time-series econometric method and results in an accurate and scholarly way.

Subject options

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