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| Module Availability |
Spring |
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| Assessment Pattern |
| Unit(s) of Assessment |
Weighting Towards Module
Mark (%)
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| 2 hour Examination |
75
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| Coursework |
25
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Qualifying Condition(s)
A weighted aggregated mark of 50% is required to pass the module |
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| Module Overview |
The module builds on the Quantitative Methods in Economics (ECOM022) introducing several new topics and making use of matrix algebra. |
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| Prerequisites/Co-requisites |
None |
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| Module Aims |
This module builds on the Quantitative Methods in Economics module (ECOM022). Asymptotically valid methods of estimation and hypothesis testing are introduced and we look at models involving several equations. Limited dependent variable and panel data models are also examined. Matrix algebra is used extensively to explore the properties of the models |
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| Learning Outcomes |
On successful completion of this module you should:
- Understand the maximum likelihood principle and its application to different models
- Be able to derive the asymptotic properties of estimators and tests
- Appreciate issues of identification and estimation methods in simultaneous systems
- Be familiar with techniques for estimation in models with limited dependent variables with panel data
Transferable Skills:
- Ability to estimate and test econometric equations in standard software
- Preparation for dissertation in using applied economic techniques
Transferable Skills:
Transferable Skills:
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| Module Content |
The following is an indication of the likely topics to be covered
Review of Matrix Algebra
OLS estimation using matrix algebra
GLS estimation; Seemingly Unrelated Regression (SUR) model
Maximum Likelihood estimation; Wald, LR and LM tests
Limited dependent variable models: Identifcation, estimation and testing
Panel data estimation: Fixed and random effects models
Simultaneous equations: Identification, estimation and testing
Introduction to VAR (Vector Autoregressive) models; Granger causality
Cointegration in VAR models
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| Methods of Teaching/Learning |
Lectures (20 hrs) and Classes (10 hrs)
Reading using lecturers guidance
Preparing exercises for discussion in class
Responding to questions in class
Preparing and producing an applied econometrics assignment as coursework |
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| Selected Texts/Journals |
Main Texts:
Greene,W.H., Econometric Analysis, Prentice Hall (latest edition) Verbeek,M., A Guide to Modern Econometrics, Wiley (latest edition) Auxiliary texts:
Gujarati, Basic Econometrics, 3rd edition, McGraw-Hill, (latest edition) Maddala, GS, Introduction to Economics, Macmillan (latest edition)
Thomas, RL, Introductory Econometrics, Longman(latest edition) |
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| Last Updated |
10 March 2011 |
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