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BAEcon Economics and Finance / Course details

Year of entry: 2021

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? Yes


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


To extend the material introduced in Econometrics to; a) cover models used for the analysis of microdata (particularly data with limited dependent responses), and to; b) introduce models for the analysis of macro-economic time series data.


Learning outcomes

Students should be able to:

i) understand the use of the method of Maximum Likelihood to estimate and test IID econometric models,

ii) extend the range of their microdata modelling capabilities to deal with non-linear, particularly binary, response variables and address,

iii) extend their knowledge and modeling of stationary process from AR to seasonal ARMA,  iv) formalize the notion of non-stationarity and test for its presence,

v) use VARs to model multivariate  time series and understand the idea of Grander Causality and use of Impulse Response Functions.



Part I: Theory and Microdata models

1. Theory: Parametric Maximum Likelihood for IID data.

2. Binary Response Data models

Software: R

Part II: Time series (Macrodata) models.

3. ARMA(p,q)(P,Q) models.

4. Unit roots.

5. Introduction to VARs

Software: R


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.

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).

Employability skills

Problem solving, Synthesis and analysis of data and information, Numeracy, Time Management. Use of industry standard software.

Assessment methods

Two Courseworks on Part I and Part II of the syllabus:

20% Online Coursework 1

20% Online Coursework 2

Final Assessment/Exam:

60% Exam Exact format TBD

The assessment criteria used by Economics in the assessment of examinations and coursework can be found on the UG Intranet in your programme handbook (BSc Economics, BA(ECON) 

Recommended reading

While there is a core text, other references (journals articles as well as texts) maybe be cited as appropriate.

Core text: 

Verbeek (2017), A Guide to Modern Econometrics. (earlier editions may also be suitable).


Study hours

Independent study hours
Independent study 0

Teaching staff

Staff member Role
Simon Peters Unit coordinator

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