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Econometrics I & II - ECO00047M

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  • Department: Economics and Related Studies
  • Module co-ordinator: Prof. Michael Thornton
  • Credit value: 20 credits
  • Credit level: M
  • Academic year of delivery: 2022-23
    • See module specification for other years: 2021-22

Module will run

Occurrence Teaching period
A Autumn Term 2022-23 to Spring Term 2022-23

Module aims

To equip students with intermediate level knowledge of the core techniques employed in modern econometric analysis so that they are able:

to follow the techniques and arguments used in a range of empirical papers in Economics and Finance; and,

to undertake a successful empirical dissertation.

See also description of Econometrics 1

Module learning outcomes

On completing the module a student should be able:

To recognise and interpret various mathematical objects that arise in the theory of least ssquares estimation and testing.

To extend these skills to the estimation and testing of models under conditions that commonly arise in economic and financial data, including:

non-linear models
disturbances that are heteroskedastic and/orserially correlated
depedent variables that are qualitative (can only take one of a finite number of values) or limited to the range of values they can take
regressors that are endogeneous, through instrumental variable estimation and the generalised method of moments
and
variables that are driven by the long-run trends.

To present and derive key statistical results discussed during the module at an appropriate mathematical level

and

To interpret correctly the results of empirical statistical analysis as performed using contemporary econometric software.

Assessment

Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Closed exam : Econometrics I & II - Spring		 2 hours 50
Closed/in-person Exam (Centrally scheduled)
Closed exam : Econometrics I & II - Summer		 2 hours 50

Special assessment rules

None

Reassessment

Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Closed exam : Econometrics I & II - Spring		 2 hours 50
Closed/in-person Exam (Centrally scheduled)
Closed exam : Econometrics I & II - Summer		 2 hours 50

Module feedback

Feedback will be given in line with University guidelines

Indicative reading

Heij, C. et al, Econometric Methods awith Applications in Business and Economics. Oxford University Press 2004.

Greene, W., Econometric Analysis. Prentice Hall 2008. ( for more advanced students)


The information on this page is indicative of the module that is currently on offer. The University is constantly exploring ways to enhance and improve its degree programmes and therefore reserves the right to make variations to the content and method of delivery of modules, and to discontinue modules, if such action is reasonably considered to be necessary by the University. Where appropriate, the University will notify and consult with affected students in advance about any changes that are required in line with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.