BSc International Business, Finance and Economics with Industrial/Professional Experience

Year of entry: 2020

Course unit details:
Advanced Econometrics

Unit code ECON31031
Credit rating 20
Unit level Level 3
Teaching period(s) Semester 1
Offered by Economics
Available as a free choice unit? No

Pre/co-requisites

Unit title Unit code Requirement type Description
Econometrics ECON20110 Pre-Requisite Compulsory
ECON20110 Econometrics

Aims

Aims:

To provide students with an advanced understanding of the econometric methods required for empirical work in economics. Students will also learn the theoretical underpinnings required to understand the theoretical and empirical properties of these methods. The methods covered in this unit form the basis for the advanced study of econometrics in more specialist areas.

The course aims to equip students with a number of core competencies including: (i) an awareness of the important differences in econometric approaches for different data types. (ii) further experience in the analysis and use of data and software packages as tools of quantitative and statistical analysis.

Syllabus

An indicative syllabus:

Asymptotic and Testing Theory

Introduction of the main techniques and ideas required to establish parameter properties and establish distributions for test statistics

Time Series elements:

  • Univariate, Stationary TS Processes: stationarity; properties of autoregressive moving average (ARMA) processes; autocorrelations; seasonality; lag operator.
  • Random Walk and Unit roots: Deterministic and Stochastic Trends, Dickey-Fuller and augmented Dickey-Fuller tests.
  • Models for Data: Specifying dynamic models; estimation; diagnostic checking.

Cross-Section elements:

  • raw and conditional differentials;
  • parameter stability tests and Oaxaca’ decomposition;
  • understanding interaction effects;

Teaching and learning methods

The material is delivered via the online (Blackboard) provision of material (readings, podcasts, clips) and Lectures.

The learning process of students is supported by tutorials (exercise questions and discussion based questions) and the provision of further online material (such as discussion boards and practice quizzes) as well as office hours by lecturers and tutors.

Knowledge and understanding

  • understand the main techniques and results required to obtain distributions of estimators and test statistics
  • understand the main tenants of cross-sectional and panel data methods (variable interactions, raw and conditional differentials)
  • understand the main features of time-series data (dependence and stationarity properties, apply stationarity tests, ARMA processes)
  • ability to make formal arguments regarding the properties of the methods covered in the unit

Intellectual skills

(i) problem-solving skills; (ii) critically appraise work in the area of applied economics.; (iii) develop a solid intuitive and theoretical grasp of the dangers, pitfalls and problems encountered in doing applied modelling

Practical skills

(i) have practical experience of the application of econometric methods based on practical exercises. (ii) further develop statistical software skills

Transferable skills and personal qualities

(i) select and deploy relevant information; (ii) communicate ideas and arguments in writing; (iii) apply skills of analysis and interpretation; (iv) manage time and work to deadlines; (v) use ICT to locate, analyse, organise and communicate information (e.g. internet, on-line databases, search engines, library catalogues, spreadsheets, specialist statistical software).

Assessment methods

10%                  Mid term

10%                  Coursework, online

80%                  Exam

Feedback methods

ECON20110 Econometrics

Recommended reading

TBC: Possibly Wooldridge or Stock and Watson

Additional reading (book chapters, blogs, journal articles) will be provided through Blackboard

Study hours

Independent study hours
Independent study 0

Teaching staff

Staff member Role
Simon Peters Unit coordinator

Return to course details