Advanced Econometrics

Module description

Summary:

The module introduces you to some important topics in advanced econometrics. The primary aim is to provide a deep and sound knowledge of modern econometric concepts and techniques. The first part of the module will give you an introduction to the probabilistic foundations, and discuss the advanced theory of estimation and inference. Subsequently, various special topics will be covered.

Additional Information:

Internationalisation

While this module is designed for those interested in theory and research, mathematics is an international language, making the course content relevant across the globe in theory and in practice.

Employability

This module is highly useful for those interested in conducting research in the field of econometrics. Also, students will have the opportunity to develop their numeracy skills, which are highly valued by many employers.

Sustainability

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

Full module specification

Module title:Advanced Econometrics
Module code:BEEM113
Module level:M
Academic year:2016/7
Module lecturers:
  • Professor James Davidson - Convenor
Module credit:15
ECTS value:

7.5

Pre-requisites:

None

Co-requisites:

BEEM102 QRT

Duration of module: Duration (weeks) - term 2:

11

Module aims

The module is intended to introduce students to some important topics in advanced econometrics. The primary aim is to provide a deep and sound knowledge of modern econometric concepts and techniques. The first part of the module will give an introduction to the probabilistic foundations, and discuss the advanced theory of estimation and inference. Subsequently, various special topics will be covered.

ILO: Module-specific skills

  • 1. a mastery of the underlying concepts in probability and their application in econometrics and the analysis of economic data.
  • 2. knowledge of recent literature in this area.

ILO: Discipline-specific skills

  • 3. Applied mathematical and statistical techniques
  • 4. Computer programming skills.

ILO: Personal and key skills

  • 5. Self-management/time-management
  • 6. Locating / using learning resources (www, library)
  • 7. Communication, oral and written
  • 8. Problem solving
  • 9. Data analysis

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

Scheduled Learning and Teaching ActivitiesGuided independent studyPlacement / study abroad
301200

Details of learning activities and teaching methods

CategoryHours of study timeDescription
Contact hours20Lectures
10Tutorials

Formative assessment

Form of assessmentSize of the assessment (eg length / duration)ILOs assessedFeedback method
Weekly problem sets11 weeks 1-9 Answers on ELE discussion with module convenor if requested

Summative assessment (% of credit)

CourseworkWritten examsPractical exams
01000

Details of summative assessment

Form of assessment% of creditSize of the assessment (eg length / duration)ILOs assessedFeedback method
Examination1002.5 hours1-9 Answers on ELE discussion with module convenor if requested
0
0
0
0
0

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

Original form of assessmentForm of re-assessmentILOs re-assessedTimescale for re-assessment
Examination Examination 1-9 August Examination period

Syllabus plan

Weeks 1-2: Probabilistic fundamentals and stochastic process theory.
Weeks 3-4: Asymptotic theory, with applications to regression analysis.
Weeks 5-6: Advanced estimation theory – optimization estimators and maximum likelihood.
Week 7: Asymptotic theory for unit root and cointegration models.
Weeks 8-10: Special topics, including:
o Long memory processes; theory and applications.
o Nonlinear time series models, ARCH and Markov switching.
o Bootstrap methods for statistical inference.

Indicative learning resources - Basic reading

Basic reading:
James Davidson, Econometric Theory, Blackwell Publishers 2000.
James Davidson, Stochastic Limit Theory, OUP 1994.
James Hamilton, Time Series Analysis. Princeton UP 1994
Russell Davidson and James MacKinnon,Econometric Theory and Methods. OUP 2002

Module has an active ELE page?

Yes

Origin date

03/09/2007

Last revision date

10/09/2013