EC976: Econometrics for MSc Finance Economics
Gianna Boero
Module Leader
Thomas Martin
Module Lecturer
Principal Aims
Administered by WBS.
The aim of this module is to provide a thorough training in econometrics with an emphasis
on empirical modelling of economic and financial data. Students will develop the
necessary skills to enable them to carry out good quality empirical research. This module
is a postgraduate level treatment of econometrics. The emphasis throughout is on the
application of standard techniques.
Principal Learning Outcomes
By the end of the module the students will have developed the necessary skills needed for
empirical research: important elements of the research training of all professional economists.
Syllabus
Estimation of unknown parameters in linear models – OLS. Introduction to inference - testing hypotheses about the model parameters. Cross-section data - heteroscedasticity, parameter constancy. Endogeneity and instrumental variables estimation. Limited dependent variable models. Time series models: ARMA. Trends and Cointegration analysis. Vector Autoregression Models. Introduction to ARCH-GARCH models
Context
- Core Module
- LN1J - Year 1
Assessment
- Assessment Method
- Coursework (20%) + 2 hour exam (80%)
- Coursework Details
- One 1 hour test (20%)
- Exam Timing
- January