Handbook home
Time Series Analysis and Forecasting (ECOM30004)
Undergraduate level 3Points: 12.5Dual-Delivery (Parkville)
From 2023 most subjects will be taught on campus only with flexible options limited to a select number of postgraduate programs and individual subjects.
To learn more, visit COVID-19 course and subject delivery.
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Semester 2
Overview
| Availability | Semester 2 - Dual-Delivery |
|---|---|
| Fees | Look up fees |
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
Last updated: 22 November 2023
Eligibility and requirements
Prerequisites
One of
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| ECOM20001 | Econometrics 1 |
Semester 1 (Dual-Delivery - Parkville)
Semester 2 (Dual-Delivery - Parkville)
|
12.5 |
| ECOM30001 | Basic Econometrics | Semester 1 (Dual-Delivery - Parkville) |
12.5 |
| ECOM30002 | Econometrics 2 |
Semester 1 (Dual-Delivery - Parkville)
Semester 2 (Dual-Delivery - Parkville)
|
12.5 |
OR
All of
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| MAST20004 | Probability |
Semester 1 (Dual-Delivery - Parkville)
Semester 2 (Dual-Delivery - Parkville)
|
12.5 |
| MAST20005 | Statistics |
Summer Term (Dual-Delivery - Parkville)
Semester 2 (Dual-Delivery - Parkville)
|
12.5 |
Corequisites
None
Non-allowed subjects
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| ECOM90004 | Time Series Analysis and Forecasting | Semester 2 (Dual-Delivery - Parkville) |
12.5 |
Recommended background knowledge
Please refer to Prerequisites and Corequisites.
Inherent requirements (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
Last updated: 22 November 2023
Assessment
| Description | Timing | Percentage |
|---|---|---|
Assignment 1
| Week 3 | 10% |
Assignment 2
| Week 6 | 10% |
Assignment 3
| Week 9 | 10% |
Assignment 4
| Week 12 | 10% |
End-of-semester examination
| During the examination period | 60% |
Last updated: 22 November 2023
Dates & times
- Semester 2
Principal coordinator Vance Martin Mode of delivery Dual-Delivery (Parkville) Contact hours Two 1-hour lectures and a 1-hour tutorial/practice class per week Total time commitment 170 hours Teaching period 25 July 2022 to 23 October 2022 Last self-enrol date 5 August 2022 Census date 31 August 2022 Last date to withdraw without fail 23 September 2022 Assessment period ends 18 November 2022 Semester 2 contact information
Time commitment details
An estimated total time commitment of at least 170 hours.
Last updated: 22 November 2023
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
- Related Handbook entries
This subject contributes to the following:
Type Name Major Economics - Breadth options
This subject is available as breadth in the following courses:
- Bachelor of Arts
- Bachelor of Biomedicine
- Bachelor of Design
- Bachelor of Environments
- Bachelor of Fine Arts (Acting)
- Bachelor of Fine Arts (Animation)
- Bachelor of Fine Arts (Dance)
- Bachelor of Fine Arts (Film and Television)
- Bachelor of Fine Arts (Music Theatre)
- Bachelor of Fine Arts (Production)
- Bachelor of Fine Arts (Screenwriting)
- Bachelor of Fine Arts (Theatre)
- Bachelor of Fine Arts (Visual Art)
- Bachelor of Music
- Bachelor of Science
- 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: 22 November 2023