Time Series Analysis and Forecasting

This subject has the following teaching availabilities in 2015:

Estimated total time commitment of 120 hours per semester

ECOM9002 Econometrics or ECOM90001 Basic Econometrics

None

Please refer to Prerequisites and Corequisites.

ECOM30004 Time Series Analysis and Forecasting

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

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.

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.

• 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))

You will be advised of prescribed texts by your lecturer.

This subject is not available as a breadth subject.

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

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