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MA Economics / Course details

Year of entry: 2020

Course unit details:
Further Econometrics

Unit code ECON60622
Credit rating 15
Unit level FHEQ level 7 – master's degree or fourth year of an integrated master's degree
Teaching period(s) Semester 2
Offered by Economics
Available as a free choice unit? Yes

Aims

The aims of this course are threefold.

  1. to introduce students to basic modeling techniques in the analysis of cross-section, panel and time series economic data;
  2. to provide students with sufficient econometric training to read the applied literature in core journals which use these standard techniques;
  3. to prepare students for a dissertation topic that analyses either cross-section, panel or time series data using basic econometric techniques.

Learning outcomes

At the end of the course, students should be able to perform the following tasks.

With cross-section and panel data:

  1. Interpret the results from regression models involving panel data and instrumental variables;
  2. understand how to use instrumental variables to account for endogenous regressors;
  3. understand how to estimate binary response models
  4. understand how to correct for sample selection using Heckman’s two-step procedure;
  5. understand how to set up and analyse panel data regression models;
  6. estimate basic panel data, instrumental variables binary response and sample selection models;
  7. use the computer package Stata.

With time series data:

  1. understand the basic concepts of stationary and non-stationary time series;
  2. understand and apply basic linear models for univariate and multivariate time series;
  3. understand the concepts of integration and cointegration and how to test for these phenomena in time series;
  4. use the computer package EViews to analyse time series data.


 

Syllabus

(Relevant textbook chapters in parentheses; W = Wooldridge; B=Brooks)

Cross-section & panel data

  1. Instrumental Variables Estimation and Two-Stage Least Squares (W 15)
  2. Binary response models (W 17.1)
  3. Sample Selection and Heckman’s Two-Step Procedure (W 9.5, 17.5)
  4. Panel Data Methods (W 13, 14)

Time series data

  1. Stationary Time Series – AR(MA) Modelling (B 6)
  2. Multivariate Modelling – VARs (B 7)
  3. Regression with time series data  (W 11, B5)
  4. Non-Stationary Time Series – Unit Root Testing and Cointegration (B 8)

 

Teaching and learning methods

Lectures and tutorials

Assessment methods

Method Weight
Other 15%
Written exam 85%

85% final exam

15% mid term test

Recommended reading

The main texts are:

  • Wooldridge, J. M., (2013), Introductory Econometrics, South-Western Cengage Learning, Fifth Edition. Please note that other editions of the textbook may be used as well.

Important information: a custom edition of this textbook is available at a lower price at Blackwell’s bookstore. It is sold as:

Econometrics, Custom Edition for The University of Manchester, compiled by Andrews, Becker,

Cortes, Masters, Mazza and Backus. ISBN 978-1-4737-2064-0.

  • Brooks, C., (2019), Introductory Econometrics for Finance, 4th Edition, Cambridge UP

 An additional source is

  • Verbeek, M., (2012), A Guide to Modern Econometrics, 4th Edition, Wiley

Study hours

Scheduled activity hours
Lectures 20
Tutorials 11
Independent study hours
Independent study 119

Teaching staff

Staff member Role
Alastair Hall Unit coordinator
Arthur Sinko Unit coordinator

Additional notes

Information
Pre-requisite: ECON60611

Timetable
Lecture - Tuesday 11am - 1pm,

Tutorial - (T1) Tuesday 2pm-3pm,

Tutorial - (T2) Tuesday 3pm-4pm,

Tutorial - (T3) Friday 11am-12pm,,

 


 

 

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