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MAE406 - Business and Financial Econometrics

Unit details

Year2017 unit information
Enrolment modes:Trimester 1: Burwood (Melbourne)
Credit point(s):1
EFTSL value:0.125
Cohort rule:(For Bachelor of Commerce (Honours) students only)
Unit chair:

P Sgro

Incompatible with: Nil
Contact hours:

1 x 2 hour class, 1 x 1 hour lab per week


The unit starts with reviewing univariate regression analysis and then extends towards multivariate regression analysis. In the first part of the unit, after analysing simple regression model, inference in multiple regression models and problems of relaxing classical assumptions, i.e., heteroskedasticity and autocorrelation, will be studied. The second part of the unit will analyse nonlinear time series models to track volatility (ARCH, GARCH, ARCH-M, GARCH-M, EGARCH, TARCH, APARCH AND IGARCH models) and panel data analysis including extensions to panel unit root testing and panel cointegration testing.


Written Assignment 3000 words 30%

Test 20%

Examination 2 hours 50%

Unit Fee Information

Unit fee information available soon

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