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| Module Availability |
All Year
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| Assessment Pattern |
| Unit(s) of Assessment |
Weighting Towards Module Mark (%)
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3 Hour Examination
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70
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| Coursework |
30
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Qualifying Condition(s)
A weighted aggregated mark of 40% is required to pass the module. |
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| Module Overview |
By the end of the module students will have learnt how to carry out empirical analyses using different types of economics data (panel, limited dependent variable, time series); how to interpret the results of such analyses; and will have acquired an ability to critically assess empirical papers. |
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| Prerequisites/Co-requisites |
| ECO2038 |
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| Module Aims |
| The module will equip the student with the ability to undertake, understand, and critically assess empirical work in economics, with a view to enabling the student to use econometrics to catalogue and describe empirical regularities and test various propositions. |
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| Learning Outcomes |
The module teaches students how to analyse models for discrete, censored and truncated dependent variables where the range of the dependent variable is restricted in some way. The module also introduces students to panel data econometrics. Matrix notation will be used for models where necessary. In addition, the module focuses on the techniques for the econometric analysis of economic and financial time series, covering issues related to non-stationarity, cointegration and time varying conditional volatility.
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| Module Content |
The following is an indication of the likely topics to be covered:-
- Maximum Likelihood estimation and specification tests
- Limited dependent variable models
- Models based on panel data
- Issues related to non-stationarity and testing for unit roots
- Cointegration in single equations and in multivariate systems; error-correction models; vector autoregressive models (VARs)
- Modelling financial time series
- ARCH and GARCH models
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| Methods of Teaching/Learning |
Lectures (30 hrs) Computer Lab Classes (10 hrs)
Responding to questions in class
Producing coursework assignments
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| Selected Texts/Journals |
Indicative reading:
Greene, W. Econometric Analysis (6th edition), 2008 Pearson International Edition
Verbeek, M. A Guide to Modern Econometrics, (3rd edition), 2008 John Wiley.
Enders, W. (2004), Applied Econometric Time Series, (2nd edition), Wiley.
Harris, R. and Sollis, R. (2003), Applied Time Series Modelling and Forecasting, Wiley. |
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| Last Updated |
6 October 2010
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