Handbook

ECOM30004 Time Series Analysis and Forecasting

Credit Points: 12.5
Level: 3 (Undergraduate)
Dates & Locations:

This subject has the following teaching availabilities in 2017:

Semester 2, Parkville - Taught on campus.Show/hide details
Pre-teaching Period Start not applicable
Teaching Period 24-Jul-2017 to 22-Oct-2017
Assessment Period End 17-Nov-2017
Last date to Self-Enrol 04-Aug-2017
Census Date 31-Aug-2017
Last date to Withdraw without fail 22-Sep-2017


Timetable can be viewed here.
For information about these dates, click here.
Time Commitment: Contact Hours: Two 1-hour lectures and a 1-hour tutorial/practice class per week
Total Time Commitment:

An estimated total time commitment of at least 170 hours.

Prerequisites:

One of:

Subject
Study Period Commencement:
Credit Points:
Semester 1
12.50
Semester 1
12.50

OR both of the following:

Subject
Study Period Commencement:
Credit Points:
Semester 1
12.50
Semester 2
12.50
Corequisites:

None

Recommended Background Knowledge:

Please refer to Prerequisites and Corequisites.

Non Allowed Subjects:
Core Participation Requirements:

For the purposes of considering request for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Student Support and Engagement Policy, academic requirements for this subject are articulated in the Subject Overview, Learning Outcomes, Assessment and Generic Skills sections of this entry.

It is University policy to take all reasonable steps to minimise the impact of disability upon academic study, and reasonable adjustments will be made to enhance a student's participation in the University's programs. Students who feel their disability may impact on meeting the requirements of this subject are encouraged to discuss this matter with a Faculty Student Adviser and Student Equity and Disability Support: http://services.unimelb.edu.au/disability

Coordinator

Dr Barry Rafferty

Contact

barry.rafferty@unimelb.edu.au

Subject Overview:

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.

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.
Assessment:
  • 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.
Prescribed Texts:

You will be advised of prescribed texts by your lecturer.

Breadth Options:

This subject potentially can be taken as a breadth subject component for the following courses:

You should visit learn more about breadth subjects and read the breadth requirements for your degree, and should discuss your choice with your student adviser, before deciding on your subjects.

Fees Information: Subject EFTSL, Level, Discipline & Census Date
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
Related Majors/Minors/Specialisations: Economics
Economics
Master of Economics electives

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