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Economics

EC976: Econometrics

Han Zhang

Module Leader

  • Han Zhang

    Module Leader

  • Juliana Cunha Carneiro Pinto

    Module Lecturer

Total students will not give an accurate representation of student numbers until module registration is complete

34total
students
20total
lecture hours
10total
seminars
30total
contact hours
15 CATS - Department of Economics

Principal Aims

EC976-15 Econometrics for MSc Finance Economics

Principal Learning Outcomes

Subject knowledge and understanding By the end of the module the students will have a deeper and broader knowledge of material needed for empirical quantitative analysis The teaching and learning methods that enable students to achieve this learning outcome are: Series of lectures and tutorials The summative assessment methods that measure the achievement of this learning outcome are: Examination and written assignment.

Cognitive Skills Develop critical insight to appraise econometric results obtained by other researchers. Develop that habit of thought, knowledge and understanding to be able to carry out good quality applied econometric research with confidence and authority. The teaching and learning methods that enable students to achieve this learning outcome are: Class discussions, lectures, topic specific readings. Tutorial discussions and readings of journal articles. Data collection and replication of results. The summative assessment methods that measure the achievement of this learning outcome are: Examination and written assignment.

Key skills Developed key skills through class discussions, weekly exercises and tutorials. Have a deeper and broader knowledge and understanding of material needed for empirical quantitative analysis. The teaching and learning methods that enable students to achieve this learning outcome are: Series of lectures and tutorials.Series of lectures and tutorials The summative assessment methods that measure the achievement of this learning outcome are: Examination and written assignment.

Syllabus

The module will typically cover the following topics:

Part 1 focuses on microeconometrics and covers: Introduction to correlation vs. causation; OLS, estimation and inference. Dealing with unobservable characteristics; randomised control trials; instrumental variables; regression discontinuity design; differences-in-differences.

Part 2 focuses on macro and financial time series econometrics and covers: univariate time series models: autoregressive moving average models (ARMA). Model selection, diagnostic tests and forecasting. Dynamic models with stationary variables: distributed lag models and autoregressive distributed lag models (DL and ADL). Nonstationary variables: trends and unit root processes. Cointegration analysis and error correction models.

Context

Core Module
LN1J - Year 1

Assessment

Assessment Method
Coursework (20%) + 2 hour exam (January) (80%)
Coursework Details
2 hour exam (January) (80%) , Assessment 1 (20%)
Exam Timing
January

Reading Lists