ETC5345 - Time series analysis for business and economics

There is a more recent version of this academic item available.

Overview

This unit provides an introduction to modern time series methods. The topics covered include a review of stationary, univariate ARMA models, stochastic and deterministic trends, testing for unit roots, vector auto regressions, multivariate cointegration and error correction models.

Offerings

S2-01-CLAYTON-ON-CAMPUS

Requisites

Prerequisite

Prohibition

Contacts

Chief Examiner(s)

Mr John Stapleton

Notes

IMPORTANT NOTICE:
Scheduled teaching activities and/or workload information are subject to change in response to COVID-19, please check your Unit timetable and Unit Moodle site for more details.

Learning outcomes

On successful completion of this unit, you should be able to:

model and forecast stationary autoregressive and moving average time series

test for unit roots in univariate time series

analyse the relationships between multiple, stationary time series

test for, estimate and interpret the long run relationships between non-stationary time series

describe the use of methods learnt during the course of this unit in business and economics.

Teaching approach

Peer assisted learning

Assessment

1 - Within semester assessment

2 - Examination

Scheduled and non-scheduled teaching activities

Laboratories

Lectures

Workload requirements

Workload

Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.

Other unit costs

Costs are indicative and subject to change.
Electronics, calculators and tools: $40