MSc Quantitative Finance / Course details

Year of entry: 2023

Course unit details:
Cross Sectional Econometrics

Course unit fact file
Unit code BMAN70211
Credit rating 15
Unit level FHEQ level 7 – master's degree or fourth year of an integrated master's degree
Teaching period(s) Semester 1
Offered by
Available as a free choice unit? No

Overview

This is a graduate core course unit that covers the econometric analysis of cross-sectional and panel data. It gives an overview of the standard methods for estimating and testing the linear regression model, discusses techniques for estimating models using instrumental variables and those with limited dependent variables, and provides an advanced treatment of static and dynamic panel data methodologies. The course covers several empirical applications in accounting, finance, and business economics, and provides some training on computer programming.

Pre/co-requisites

BMAN70211 Programme Req: BMAN70211 is only available as core unit to students on MSc Accounting & Finance, MSc Finance, and as an elective to students on MSc Quantitative Finance

Aims

The course unit aims to:

•       Provide students with a systematic knowledge and understanding of the econometric analysis of cross-sectional and panel data.

•       Help students to appreciate the relevance and importance of using appropriate econometric methods in doing empirical research in accounting, finance, and business economics.

•       Provide students with training in data management and analysis, and programming using standard statistical and econometric software (i.e., STATA).

•       Help students to develop relevant quantitative research skills and techniques required to conduct empirical research using cross-sectional and panel data in accounting, finance, and business economics.

 

Learning outcomes

On completion of this unit successful students should:

•       Understand and use appropriate methods for estimating and testing the linear regression model.

•       Understand and use appropriate methods for estimating models using instrumental variables or those with limited dependent variables.

•       Understand and use advanced estimators for static and dynamic panel data models.

•       Appreciate and critically evaluate methods employed by cross-sectional and panel data studies in accounting, finance, and business economics.

•       Develop programming skills required to manage and analyze cross-sectional and panel data.

•       Develop quantitative research skills in conducting an empirical research project in accounting, finance, and business economics.

•       Develop the ability to participate constructively in group work.

 

Assessment methods

Written Examination (100%) 2 hours

Feedback methods

Office Hours

Online Learning Activities (discussions and self-assessment questions)

Drop in Surgeries (extra help sessions for students on material they may be struggling with)

Recommended reading

1.  Wooldridge, J.M. (2016). Introductory Econometrics, 6th Ed. Cengage Learning.

An e-Book version of the text is available for sale in the publisher's website

website. A limited number of copies of these texts are available in the library.

 

Other texts (many copies of which are available in the library):

1.  Most recent or earlier editions of Wooldridge’s Introductory Econometrics.

2.  Stock, J.M. and Watson, M.W. (2015). Introduction to Econometrics, Global Edition, Pearson Education.

3.  Maddala, G.S., Lahiri, K. (2009). Introduction to Econometrics. 4th Ed., Wiley.

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

Other useful texts for STATA:

1.  Baum, C.F. (2006) An Introduction to Modern Econometrics Using Stata, Stata Press.

2.  Cameron, A.C. and Trivedi, P.K. (2010) Microeconometrics Using Stata, Stata Press. Additional reading consisting of relevant journal articles will be provided in due course.

 

Study hours

Scheduled activity hours
Assessment written exam 2
Lectures 27.5
Practical classes & workshops 11.5
Independent study hours
Independent study 110.5

Teaching staff

Staff member Role
Viet Anh Dang Unit coordinator

Additional notes

Informal Contact Methods

Office Hours

Online Learning Activities (discussions and self-assessment questions)

Drop in Surgeries (extra help sessions for students on material they may be struggling with)

 

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