ETF5200 Time series and panel data econometrics
Faculty of Business and Economics
ETF5200 Time series and panel data econometrics is a level 5, 6-credit-point, postgraduate unit from the Faculty of Business and Economics, offered in 2023 in Semester 1 at Caulfield. It needs ETF3200, ETC3410, ETF5320, ETW3510 or ETC5341.
- Credit points
- 6
- Offered in 2023
- Semester 1
- Caulfield
- Assessment
- Exam 60%
- and 1 other task
- Workload
- 144 hours
- per semester
This is the 2023 handbook entry. See the 2024 entry.
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Requisites
Before ETF5200
After ETF5200
No unit lists ETF5200 as a prerequisite in the 2023 handbook.
Overview
The first-half of this subject covers both univariate and multivariate time series models, including vector autoregressive models, which are relevant to the analysis of time series data in business and economics. The main focus includes: (i) estimation for stationary time series models; (ii) estimation and inference for nonstationary time series models; (iii) introduction of some commonly used nonlinear time series, such as threshold and other types of nonlinear and nonstationary models; and (iv) introduction of vector autoregressive models. The second half introduces some panel data models with a particular attention on: (i) linear fixed- and random-effects models; (ii) linear dynamic panel data models; (iii) panel data models associated with cross-sectional dependence; and (iv) nonlinear and nonstationary panel data models. If time permits, further issues such as unit-root testing for nonstationary panel data models will be covered.
Offerings in 2023
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Caulfield | Evening |
Assessment
- Within semester assessment40%
- ExaminationThreshold hurdle60%
Learning outcomes
When you finish this unit, you should be able to:
- 1
test the properties of economic and financial time series under various conditions such as structural breaks and asymmetric assessment due to business cycles
- 2
test if the modelling framework for the relationship between variables should be linear or nonlinear
- 3
test for the existence of long run relationship and if it is nonlinear and stable
- 4
conduct multivariate time series analysis
- 5
conduct panel data analysis.
Workload and teaching
- Lectures24 hours
- Tutorials18 hours
- Teaching approachActive 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. The unit requires on average three/four hours of scheduled activities per week. Scheduled activities may include a combination of teacher directed learning, peer directed learning and online engagement.
This unit engages you in actively applying your knowledge, skills and attributes in interactive, collaborative and reflective activities.
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 Jiti Gao
Common questions
What are the prerequisites for ETF5200?
You need ETF3200, ETC3410, ETF5320, ETW3510 or ETC5341 before you enrol.
When is ETF5200 offered?
In 2023, ETF5200 runs in Semester 1 at Caulfield.
How much work is ETF5200?
The handbook expects about 144 hours of study across the semester. No students have rated its difficulty yet.
Does ETF5200 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.