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 316-350 Time Series Analysis and Forecasting

Coordinator

Dr P Wu

Prerequisites

316-317 Econometrics or 316-316 Basic Econometrics or 619-210 Probability and Statistics (1995 Handbook) or both 620-201 Probability and 620-202 Statistics.

Semester

2

Contact

Two 1-hour lectures and a 1-hour tutorial/practice class a week

Subject Description

Current techniques used in forecasting in finance, accounting and economics. Regression models, exponential smoothing methods, Box-Jenkins, ARIMA models, vector autoregression, causality analysis, and forecast evaluation.

Assessment

A 2-hour examination (60%); empirical exercises (40%).

Prescribed Texts
  • Holden K et. al., Economic Forecasting: An Introduction. Cambridge University Press.
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Status:                   Official 1998
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Email Enquiries:          Course_Information@registrar.unimelb.edu.au