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EC976: Econometrics for MSc Finance Economics

15 CATS - Department of Economics

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.


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



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

Reading Lists