Macroeconometrics

This subject is not offered in 2016.

Estimated total time commitment of 120 hours per semester

Or

None

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ECOM40003 Macroeconometrics

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

This subject provides an advanced discussion of the main techniques used in macroeconometric analysis. The topics covered in this course will be selected from the following broad areas: (1) Univariate analysis of stationary and non stationary series including ARIMA possesses, unobserved components models, business cycle turning point extraction, regime switching and time varying volatility. (2) Estimation of single equation models with a focus on Euler equations that emerge via optimization. (3) Estimating multiple equation models including reduced form and structural VARs and factor models. In covering these topics the course will focus on developing the skills to undertake rigorous applied macroeconometric research. Particular attention will be paid to the issues that arise when the time series being studied is non-stationary. Successful completion of the course will require use of the computer language GAUSS.

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

• Apply the main techniques that are used in macroeconometric analysis;
• Discuss the econometric theory behind each technique;
• Identify the main pitfalls in applying the techniques;
• Discuss how the techniques used relate to macroeconomic theory.

• 2-hour final examination (40%)
• Class assignments totalling not more than 6000 words (60%)

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
• Using computer programs
• Statistical reasoning
• Problem solving skills
• Written communication

Students may not gain credit for both ECOM40003 Macroeconometrics and ECOM90007 Macroeconometrics.