Module ECON41515: ECONOMETRICS I

Department: Business School (Economics and Finance)

ECON41515: ECONOMETRICS I

Prerequisites

• One module at a level equivalent to a second year British Honours Degree standard, covering statistics and in particular covering at least probability theory and distributions as well as hypothesis testing.

Corequisites

• None

Excluded Combination of Modules

• None

Aims

• to provide students with some of the econometrics skills necessary to pursue empirical research in finance;
• to provide a basis for understanding more advanced econometric techniques to be taught in the second term of the MSc.

Content

• Note: the following list is indicative and not all topics may be covered each year.
• Introduction: what is Econometrics?
• distribution theory and hypothesis testing;
• three bases for choosing an estimation method: residual sum of squares, MLE and GMM;
• bivariate regression analysis: the population regression function and its stochastic specification; the sample regression function;
• the multivariate model: derivation, and contrast with the bivariate model;
• specification testing;
• misspecification testing, including heteroskedasticity, normality and serial correlation;
• generalised method of moments.

Learning Outcomes

• By the end of the module students should:
• have a thorough knowledge of the key econometrics principles and methods.

• By the end of the module students should:
• have the ability to apply econometric methods and interpret the results at an advanced level;
• be able to use a range of econometric tools to conduct their own empirical investigations into financial issues;
• have practised problem solving skills and the use of econometric software.

• Written Communication;
• Planning, Organising and Time Management;
• Problem Solving and Analysis;
• Using Initiative;
• Numeracy;
• Computer Literacy.

Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module

• A combination of lectures, lab (computer) classes, problem-based workshops and guided reading will contribute to achieving the aims and learning outcomes of this module. The summative assessment comprises a 1-hour multiple-choice exam to test students' knowledge of key econometrics methods and principles, plus a 1.5 hour exam with written answers to test students’ depth of understanding, their analytical and problem-solving skills.

Teaching Methods and Learning Hours

Summative Assessment

Formative Assessment:

Multiple-choice test. Additional formative assessment and feedback, may take a number of forms such as oral feedback on work prepared by students for seminars; answers to questions either discussed during a seminar, or posted on DUO; discussions with teaching staff during consultation hours, or via e-mail.

■ Attendance at all activities marked with this symbol will be monitored. Students who fail to attend these activities, or to complete the summative or formative assessment specified above, will be subject to the procedures defined in the University's General Regulation V, and may be required to leave the University