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

Postgraduate Handbook 2015-2016 (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 2015/2016		Durham

Tied To

Pre-requisites

One econometrics module or equivalent quantitative module at a level equivalent to a second or third year British Honours Degree standard, covering basic statistics and probability theory including distributions as well as hypothesis testing.

Corequisites

None

Excluded Combinations

Econometric Methods; Financial Modelling and Business Forecasting (ECON42115)

Aims

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

Content

Linear Regression Model using Matrix Algebra, Gauss-Markov, Identification, OLS, finite sample properties of the OLS estimator
Hypothesis testing and Confidence intervals
Asymptotic properties of the OLS estimator
Misspecification and dummy variables
GLS, autocorrelation and heteroskedasticity
Endogeneity, Simultaneity, Instrumental Variables (IV) estimation
Generalized Methods of Moments (GMM)
Maximum Likelihood (ML)

Learning Outcomes

Subject-specific Knowledge

By the end of the module students should:
have a thorough knowledge of the key econometric concepts, 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;
have problem solving skills and have practised 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, seminars, computer classes 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 concepts, methods and principles, and their 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	Attendance Monitored
Lectures	10	1 per week	2 hours	20
Seminars	8	1 per week	1 hour	8	Yes
Computer classes	4		1 hour	4	Yes
Preparation & Reading				118
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

Work prepared by students for seminars; answers to questions either discussed during a seminar, or posted on DUO; feedback on discussions with teaching staff during consultation hours, or via e-mail.

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.