Postgraduate Programme and Module Handbook 2020-2021 (archived)
Module ECON41615: Econometrics II
Department: Economics and Finance
ECON41615: Econometrics II
| Type | Tied | Level | 4 | Credits | 15 | Availability | Available in 2020/21 | Module Cap |
|---|
| Tied to | L1T109 |
|---|---|
| Tied to | L1T209 |
| Tied to | L1T309 |
| Tied to | L1T409 |
| Tied to | N3K109 |
| Tied to | N3K709 |
Prerequisites
- None
Corequisites
- Econometrics I (ECON41515)
Excluded Combination of Modules
- Financial Modelling and Business Forecasting (ECON42115)
Aims
- to build upon the knowledge gained in Econometrics I and provide students with the specific advanced technical skills (both theoretical and practical) necessary to understand the methods employed by macro-econometricians and financial econometricians;
- to provide students with the tools required to model stationary and non-stationary time series data and obtain forecasts from econometric models.
Content
- Time series data, stationarity, ARMA models, Box-Jenkins methodology
- Forecasting
- Models for non-stationary data, Unit root tests
- Cointegration: Single-equation methods, Engle-Granger methodology, Error correction model (ECM)
- Dynamic regression models, Distributed lag models and Autoregressive distributed lag models
- VAR models, Impulse Response Analysis
- Cointegration in a System: VECM, Johansen approach
- Volatility Models: ARCH, GARCH
Learning Outcomes
Subject-specific Knowledge:
- have an advanced knowledge of the principles and methods of modern macroeconometrics and financial econometrics;
- have extended and deepened their understanding of econometrics gained in Econometrics I, and improved their critical judgement and discrimination in the choice of techniques applicable to complex situations;
- have extended their understanding of the application of econometric methods and interpretation of the results at an advanced level;
- have extended their understanding of the use of econometric tools to conduct advanced empirical investigations into complex specialised issues.
Subject-specific Skills:
- have further practised problem solving skills in econometrics at an advanced level 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, seminars, computer classes and guided reading will contribute to achieving the aims and learning outcomes of this module. The summative assignment and examination will test students' knowledge and critical understanding of the material covered in the module, their analytical and problem-solving skills.
Teaching Methods and Learning Hours
| Activity | Number | Frequency | Duration | Total/Hours | |
|---|---|---|---|---|---|
| Lectures | 9 | 1 per week | 2 hours | 18 | |
| Seminars | 4 | 1 hour | 4 | ■ | |
| Computer classes | 4 | 1 hour | 4 | ■ | |
| Preparation & Reading | 124 | ||||
| Total | 150 |
Summative Assessment
| Component: Project | Component Weighting: 50% | ||
|---|---|---|---|
| Element | Length / duration | Element Weighting | Resit Opportunity |
| Written Project | 1250 word maximum | 100% | Same |
| Component: Examination | Component Weighting: 50% | ||
| Element | Length / duration | Element Weighting | Resit Opportunity |
| Examination | 2 hours | 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.
■ 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