# Econometric Analysis

## Module description

Summary:

This module covers more advanced modelling and statistical inference techniques for single and multi-equation systems and the use of these techniques for prediction and model evaluation.

Internationalisation

This module presents a mixture of econometric theory and applications with an emphasis on understanding the theory, but it is broadly a mathematical module. Since mathematics is an international language, the course content is relevant across the globe in theory and in practice.

Employability

Students are given tough material to master which helps them acquire advanced mathematical and numeracy skills which are highly valued by the majority of employers.

Sustainability

All the resources for the module are available on the ELE (Exeter Learning Environment).

## Full module specification

Module title: Econometric Analysis BEE3015 3 2021/2 Dr Sebastian Kripfganz - Convenor 30 15 BEE2031 and BEE2020 None Duration (weeks) - term 1: 11Duration (weeks) - term 2: 11

## Module aims

This module aims to provide a thorough grounding in the modern theory of econometrics, together with working knowledge of the most important topics in econometric estimation and inference. Econometrics is now so large a subject that it is impossible to cover all areas of interest in one course. Coverage of econometric methods has to be selective. However, one essential objective is to achieve a sound, critical understanding of the theory of econometric inference – in other words, to know what claims can and cannot be made legitimately about the properties of estimates, tests and forecasts. This is more important in the long run than mastering a litany of formulae and techniques. Students will have the opportunity to apply the methods learned to real-world problems on the computer and learn to use econometric software packages.

## ILO: Module-specific skills

• 1. demonstrate a comprehensive knowledge of the theory of econometric inference
• 2. apply their understanding of econometrics to undertake empirical economic analysis and show the potential to contribute to knowledge, through original research

## ILO: Discipline-specific skills

• 3. demonstrate a clear understanding of the mathematical and statistical background of applied economics
• 4. demonstrate the ability to critically assess, and carry out, empirical studies in economics
• 5. use a computer for estimation and simulation exercise

## ILO: Personal and key skills

• 6. communicate effectively, using appropriate technical terms, in a variety of forms
• 7. demonstrate a confident and flexible approach to identifying and defining complex problems and apply appropriate knowledge and methods to solve them
• 8. analyse data and situations without guidance, using a range of appropriate techniques

## Learning activities and teaching methods (given in hours of study time)

Scheduled Learning and Teaching ActivitiesGuided independent studyPlacement / study abroad
402600

## Details of learning activities and teaching methods

CategoryHours of study timeDescription
Scheduled learning and teaching activities40Lectures
Guided independent learning260Reading and preparation for classes and assessments.

## Formative assessment

Form of assessmentSize of the assessment (eg length / duration)ILOs assessedFeedback method
Tutorial questions 1 hour/ 2 weeks1-4, 6-8In class discussion

## Summative assessment (% of credit)

CourseworkWritten examsPractical exams
30700

## Details of summative assessment

Form of assessment% of creditSize of the assessment (eg length / duration)ILOs assessedFeedback method
Homework 1 (Term 1)51 set of algebraic exercises1,3,4,5,6,7Class discussion
Homework 2 (Term 1)51 set of algebraic exercises1,3,4,5,6,7Class discussion
Homework 3 (Term 1)51 set of computer exercises1,2,3,4,5,6,7,8Written feedback as requested
Homework 4 (Term 2)51 set of algebraic exercises1,3,4,5,6,7Class discussion
Homework 5 (Term 2)51 set of algebraic exercises1,3,4,5,6,7Class discussion
Homework 6 (Term 2)51 set of computer exercises1,2,3,4,5,6,7,8Written feedback as requested
Examination 703 hours1,3,4,5,6,7Written feedback as requested

## Details of re-assessment (where required by referral or deferral)

Original form of assessmentForm of re-assessmentILOs re-assessedTimescale for re-assessment
Homework assignmentSame as original assessmentSame as original assessmentTo be decided when original work returned
ExaminationExamination1,3,4,6,7August examination period

## Syllabus plan

Term 1
• Revision of Matrix Algebra and Statistical Theory
• The Linear Regression Model
• Specification Testing
• Asymptotic Theory

Term 2
• Asymptotic Theory (continued)
• Instrumental Variables / Generalized Method of Moments Estimation

Selected topics subject to time availability:
• Linear Regression with Time-Series Data
• Linear Regression with Panel Data

## Indicative learning resources - Basic reading

The course will not follow any single text, and you are recommended to read widely. Useful texts include:

Cameron, C. and Trivedi, P. K. (2010) Microeconometrics using Stata, Stata Press
Davidson, J. (2018) Econometric Theory, Wiley
Greene, W. (2012) Econometric Analysis, Pearson Education/Prentice Hall
Hayashi, F. (2000) Econometrics, Princeton University Press
Wooldridge, J. M. (2020) Introductory Econometrics: A Modern Approach, Cengage Learning
Wooldridge, J. M. (2002) Econometric Analysis of Cross Section and Panel Data, MIT Press

Yes

01/09/1998

27/07/2020