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 316-350 Time Series Analysis and Forecasting

Credit Points

12.5

HECS Band

2

Coordinator

Dr D Harris

Prerequisites

316-317 Econometrics or 316-316 Basic Econometrics or both 620-201 Probability and 620-202 Statistics.

Semester

2 (view timetable)

Contact

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

Subject Description

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.

Assessment

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

Prescribed Texts
  • Enders, W., Applied Econometric Time Series. Wiley.
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