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

Rules

Enrolment Rule

Contacts

Chief Examiner(s)

Associate Professor Anastasios Panagiotelis

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

Active learning
Problem-based learning

Assessment

1 - Within semester assessment
2 - Examination

Scheduled and non-scheduled teaching activities

Seminars
Tutorials
Workshops

Workload requirements

Workload

Learning resources

Technology resources

Other unit costs

Costs are indicative and subject to change.
Electronics, calculators and tools: $100