316-350 Time Series Analysis and Forecasting

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

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.

• High level of development: written communication; problem solving.

• Moderate level of development: statistical reasoning; application of theory to practice; interpretation and analysis; critical thinking; synthesis of data and other information; evaluation of data and other information; use of computer software; accessing data and other information from a range of sources; receptiveness to alternative ideas.

• Some level of development: collaborative learning; team work.

A 2-hour end-of-semester examination (60%) and empirical exercises equivalent to 4000 words (40%).

• W Enders, Applied Econometric Time Series. (2nd edn), Wiley, 2003.