This is an archived handbook for a previous year. The current undergraduate and postgraduate handbooks can be viewed using the links above.

Postgraduate Handbook 2012-2013 (archived)

Module ECON41515: ECONOMETRICS I

Department: Business School (Economics and Finance)

ECON41515: ECONOMETRICS I

Type	Level	Credits	Availability	Module Cap	Location
Tied	4	15	Available in 2012/2013		Durham

Tied To

Pre-requisites

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 Combinations

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

Subject-specific Knowledge

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

Subject-specific Skills

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.

Key Skills

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 two-hour examination to test students' knowledge of key econometrics methods and principles, and problem-solving skills, plus a short project to test their ability to apply these methods and interpret the results.

Teaching Methods and Learning Hours

Activity	Number	Frequency	Duration	Total Hours
Lectures	9	1 per week	2 hours	18
Workshops	8	1 per week	1 hour	8
Lab classes	4	1 per week	1 hour	4
Preparation & Reading				118
Revision Sessions	2		1 hour	2
Total				150

Summative Assessment

Component	Component Weighting	Element	Length/Duration	Element Weighting	Resit Opportunity
Examination	75%	Written Examination	2 hours	100%	Same
Project	25%	Econometrics project	1000 word (maximum) excluding equations, tables and graphs	100%	Same

Formative Assessment

Multiple-choice test. Students also receive feedback on work undertaken in workshops and lab classes.

Students who do not attend monitored activities shown under Teaching Methods and Learning Hours, or who fail to complete the summative or formative assessment(s) specified above, may be subject to the Academic Progress procedures defined in the University's General Regulation V, and may be required to leave the University.