Applied time series econometrics

ETC5345

Synopsis

This unit provides an introduction to modern time series methods. The topics covered include a review of stationary, univariate ARMA models, stochastic and deterministic trends, testing for unit roots, vector auto regressions, multivariate cointegration and error correction models.

Sourced from the Monash Handbook 2026.

Quick facts

Credit points: 6
Level: 5
Audience: Postgraduate
Type: Coursework
School: Faculty of Business and Economics
Faculty: Department of Econometrics and Business Statistics
Handbook year: 2026

Prerequisites (5)

Introductory econometricsETC2410
ETC3440ETC3440
Introductory econometricsETF2100
Introductory applied econometricsETF5910
Statistical modelling for decision makingETW2510

What it unlocks (1)

MacroeconometricsETX5441

Offerings (1)

Second semesterClayton · ON-CAMPUS