Postgraduate - UnitETF5200 - Applied time series econometrics

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.

Synopsis

Presents newly developed econometric methodology in model building and model evaluation in general. Recent literature on assessing business time series properties, non-linear time series models, multiple cointegration, impulse response function and variance decomposition is introduced. Examples in business, economics and finance will be drawn to illustrate the application of techniques covered in this unit.

Outcomes

The learning goals associated with this unit are to:

1. test the properties of economic and financial time series under various conditions such as structural breaks and asymmetric assessment due to business cycles
2. test if the modelling framework for the relationship between variables should be linear or nonlinear
3. test for the existence of long run relationship and if it is nonlinear and stable
4. conduct multivariate framework time series analysis based on vector auto regression
5. test for the presence of multi-long run relationships and estimate the vector auto regressive model.

Assessment

Within semester assessment: 60%
Examination (2 hours): 40%

Chief examiner(s)

Param Silvapulle

Contact hours

3 hours per week

Prerequisites

Students must be enrolled in course code 4412, 3816 or 3822 or must have passed ETF3200 or ETF9200 or ETF3300 or ETF9300.