Time Series Analysis and Forecasting

Subject ECOM90004 (2016)

Note: This is an archived Handbook entry from 2016.

Credit Points: 12.5
Level: 9 (Graduate/Postgraduate)
Dates & Locations:

This subject has the following teaching availabilities in 2016:

Semester 2, Parkville - Taught on campus.
Pre-teaching Period Start not applicable
Teaching Period 25-Jul-2016 to 23-Oct-2016
Assessment Period End 18-Nov-2016
Last date to Self-Enrol 05-Aug-2016
Census Date 31-Aug-2016
Last date to Withdraw without fail 23-Sep-2016


Timetable can be viewed here. For information about these dates, click here.
Time Commitment: Contact Hours: Two 1-hour lectures and a 1-hour tutorial/practice class per week.
Total Time Commitment:

Estimated total time commitment of 120 hours per semester

Prerequisites:

ECOM9002 Econometrics or ECOM90001 Basic Econometrics

Subject
Study Period Commencement:
Credit Points:
Semester 1
12.50
Semester 1
12.50
Corequisites:

None

Recommended Background Knowledge:

Please refer to Prerequisites and Corequisites.

Non Allowed Subjects:

ECOM30004 Time Series Analysis and Forecasting

Subject
Core Participation Requirements:

For the purposes of considering request for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Student Support and Engagement Policy, academic requirements for this subject are articulated in the Subject Overview, Learning Outcomes, Assessment and Generic Skills sections of this entry.

It is University policy to take all reasonable steps to minimise the impact of disability upon academic study, and reasonable adjustments will be made to enhance a student's participation in the University's programs. Students who feel their disability may impact on meeting the requirements of this subject are encouraged to discuss this matter with a Faculty Student Adviser and Student Equity and Disability Support: http://services.unimelb.edu.au/disability

Coordinator

Dr Barry Rafferty

Contact

Email: barry.rafferty@unimelb.edu.au

Subject Overview:

Normally topics will include current techniques used in forecasting in finance, accounting and economics such as regression models, Box-Jenkins, ARIMA models, vector autoregression, causality analysis, cointegration and forecast evaluation, ARCH models. The computer software used is EVIEWS.

Learning Outcomes:

On successful completion of this subject students should be able to:

  • Apply the Box-Jenkins methodology for identifying stationary and non-stationary univariate forecasting models,
  • Apply VAR/VECM models to analyse relationships between economic and financial time series,
  • Apply ARCH models to analyse and forecast the volatility of financial time series.
Assessment:
  • Two hour end-of-semester examination, during the examination period (60%);
  • Four assignments of 1000 words each, due in weeks 3, 6, 9 and 12 (40% (10% each))
Prescribed Texts:

You will be advised of prescribed texts by your lecturer.

Breadth Options:

This subject is not available as a breadth subject.

Fees Information: Subject EFTSL, Level, Discipline & Census Date
Generic Skills:

On successful completion of this subject, students should have improved the following generic skills:

  • Evaluation of ideas, views and evidence
  • Synthesis of ideas, views and evidence
  • Strategic thinking
  • Critical thinking
  • Accessing economic and other information
  • Summary and interpretation of information
  • Application of Windows software
  • Statistical reasoning
  • Problem solving skills
  • Written communication
Notes:

Students may not gain credit for both ECOM90004 Time Series Analysis and Forecasting and ECOM30004 Time Series Analysis and Forecasting.

Related Course(s): Doctor of Philosophy - Business and Economics
Doctor of Philosophy - Business and Economics
Master of Commerce (Actuarial Science)
Related Majors/Minors/Specialisations: Master of Economics electives

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