ECON 7223 - Advanced Time Series Econometrics IV
General Course Information
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Course Details
| Course Code | ECON 7223 |
| Course | Advanced Time Series Econometrics IV |
| Coordinating Unit | School of Economics, Faculty of the Professions |
| Term | Semester 2 2013 |
| Mode | Internal |
| Level | Postgraduate coursework |
| Location/s | North Terrace |
| Units | 3 |
| Contact | Up to 4 hours per week |
| Prerequisites | ECON 7204 or equivalent |
| Corequisites | Not applicable |
| Incompatible | Not applicable |
| Assumed Knowledge | Not applicable |
| Restrictions | Not applicable |
| Quota | Not applicable |
| Course Description | The aim of this course is to study time series methods in econometrics. Students are expected to have knowledge in calculus, statistics, and Level IV econometrics. Topics include stationarity, asymptotic theory for time series, linear regression with time series data, autoregressive moving average (ARMA), forecasting, maximum likelihood estimation (MLE), spectral analysis, vector autoregression (VAR), generalized method of moment (GMM), basic stochastic calculus, unit roots, cointegration, fractional integration, autoregressive conditional heteroskedasticity (ARCH), generalized ARCH (GARCH), Kalman filter, and regime switching. The emphasis is on understanding the methods and applying them to real-world data. |
Detailed Course Information
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