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Time Series Analysis and Forecasting (ECOM30004)

Undergraduate level 3Points: 12.5On Campus (Parkville)

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Overview

Year of offer2019
Subject levelUndergraduate Level 3
Subject codeECOM30004
Campus
Parkville
Availability
Semester 2
FeesSubject EFTSL, Level, Discipline & Census Date

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, and ARCH models. The computer software used is Eviews.

Intended learning outcomes

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.

Generic skills

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

Eligibility and requirements

Prerequisites

One of:

Code Name Teaching period Credit Points
ECOM20001 Econometrics 1
Semester 1
Semester 2
12.5
ECOM30001 Basic Econometrics
Semester 1
12.5
ECOM30002 Econometrics 2
Semester 1
Semester 2
12.5

OR both of the following:

Code Name Teaching period Credit Points
MAST20004 Probability
Semester 1
Semester 2
12.5
MAST20005 Statistics
Summer Term
Semester 2
12.5

Corequisites

None

Non-allowed subjects

Code Name Teaching period Credit Points
ECOM90004 Time Series Analysis and Forecasting
Semester 2
12.5

Recommended background knowledge

Please refer to Prerequisites and Corequisites.

Core participation requirements

The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.

Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home

Assessment

Description

  • A 2-hour end-of-semester examination (60%)
  • Four assignments of no more than 1000 words each due in weeks 3, 6, 9 and 12 (40% - 10% each)
  • To pass this subject students must pass the end of semester examination.

Dates & times

  • Semester 2
    Principal coordinatorVance Martin
    Mode of deliveryOn Campus — Parkville
    Contact hoursTwo 1-hour lectures and a 1-hour tutorial/practice class per week
    Total time commitment170 hours
    Teaching period29 July 2019 to 27 October 2019
    Last self-enrol date 9 August 2019
    Census date31 August 2019
    Last date to withdraw without fail27 September 2019
    Assessment period ends22 November 2019

    Semester 2 contact information

Time commitment details

An estimated total time commitment of at least 170 hours.

Further information

  • Texts

    Prescribed texts

    You will be advised of prescribed texts by your lecturer.

  • Breadth options
  • Available through the Community Access Program

    About the Community Access Program (CAP)

    This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.

    Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.

  • Available to Study Abroad and/or Study Exchange Students

    This subject is available to students studying at the University from eligible overseas institutions on exchange and study abroad. Students are required to satisfy any listed requirements, such as pre- and co-requisites, for enrolment in the subject.

Last updated: 10 August 2019