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
Rules
Enrolment Rule
Contacts
Chief Examiner(s)
Mr John Stapleton
Learning outcomes
On successful completion of this unit, you should be able to:
1.
model and forecast stationary autoregressive and moving average time series
2.
test for unit roots in univariate time series
3.
analyse the relationships between multiple, stationary time series
4.
test for, estimate and interpret the long run relationships between non-stationary time series.
Teaching approach
Peer assisted learning
Assessment
1 - Within semester assessment
2 - Examination
Scheduled and non-scheduled teaching activities
Lectures
Tutorials
Workload requirements
Workload
Other unit costs
Costs are indicative and subject to change.
Electronics, calculators and tools: $40