316-350 Time Series Analysis and Forecasting

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316-350 Time Series Analysis and Forecasting
Credit Points	12.5
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 per 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 end-of-semester examination (60%) and empirical exercises (40%).
Prescribed Texts	W Enders, Applied Econometric Time Series. 2nd Edition, Wiley, 2003.

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Status:                   Official 2005
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