ETC5345 Applied time series econometrics
Faculty of Business and Economics
ETC5345 Applied time series econometrics is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2027 in Semester 2 at Clayton. It needs ETC2410, ETC3440, ETF2100, ETF5910 or ETW2510 and unlocks 2 units.
- Credit points
- 6
- Offered in 2027
- Semester 2
- Clayton
- Assessment
- Exam 60%
- and 2 other tasks
- Workload
- 144 hours
- per semester
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Requisites
Before ETC5345
Prerequisites
Pass these before you enrol.
Prohibitions
You can't enrol if you have passed any of these.
After ETC5345
2 units list ETC5345 as a prerequisite or corequisite.
Equivalent units
The same content under another code. Only one of them counts.
Overview
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.
Offerings in 2027
| Teaching period | Campus | Mode |
|---|---|---|
| Second semester | Clayton | On campus |
Assessment
- Presentation10%
- Written30%
- Examination60%
Assessment details may change. Please refer to the assessment information in Moodle closer to the start of the teaching period.
Learning outcomes
When you finish this unit, you should be able to:
- 1
model and forecast stationary autoregressive and moving average time series
- 2
test for unit roots in univariate time series
- 3
analyse the relationships between multiple, stationary time series
- 4
test for, estimate and interpret the long run relationships between non-stationary time series
- 5
describe the use of methods learnt during the course of this unit in business and economics.
Workload and teaching
- Tutorials12 hours
- Workshops12 hours
- Seminars24 hours
- Teaching approachActive learning
- Teaching approachProblem-based learning
Minimum total expected workload to achieve the learning outcomes for this unit is 144 hours per semester typically comprising a mixture of scheduled learning activities and independent study. Independent study may include associated readings, assessment and preparation for scheduled activities. You are expected to complete all pre-class activities prior to your scheduled class, and post-class activities should be completed after your scheduled class. Learning activities may include a combination of teacher directed, peer directed and online engagement activities.
This unit engages you in actively applying your knowledge, skills and attributes in interactive, collaborative and reflective activities.
This unit includes problem-based learning approaches, where you engage in research, integrate theory and practice and apply knowledge and skills to develop viable solutions in response to a problem or set of problems.
Learning resources
Technology resources
There may be an additional cost associated with purchasing a physical and/or virtual calculator. Specific details will be provided in the Learning Management System by commencement of Orientation week.
Contacts
- Chief Examiners
- Professor Anastasios Panagiotelis
Common questions
What are the prerequisites for ETC5345?
You need ETC2410, ETC3440, ETF2100, ETF5910 or ETW2510 before you enrol.
What can I take after ETC5345?
ETC5345 is a prerequisite or corequisite for 2 units, including ETC5410 and ETX5441.
When is ETC5345 offered?
In 2027, ETC5345 runs in Semester 2 at Clayton.
How much work is ETC5345?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does ETC5345 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 2 other tasks.