• University of Exeter Business School
• Module

Econometric Theory II

Module description

This module builds on Econometric Theory I and further develops your knowledge and understanding of econometric and methodological research tools and the application of various econometric methods and techniques to real life problems.
Additional Information:

Internationalisation
The methods covered in this module, such as those used to forecast inflation and GDP, are applicable across countries.
Sustainability
Resources for this module are available on the ELE (Exeter Learning Environment).
Employability
Students gain an understanding of the statistical techniques used to study topics such unemployment and forecasting inflation and economic growth which are all necessary skill for working in central banks. They also develop their numerical and problem-solving skills in learning these mathematical techniques.

Module aims - intentions of the module

This module aims at providing the students with the necessary econometric and methodological research tools to equip them for carrying out empirical research projects as well as understand the contents of other modules.
The module is dedicated to the application of various econometric methods and techniques to real life problems.

Intended Learning Outcomes (ILOs)

ILO: Module-specific skills

On successfully completing the module you will be able to...

• 1. apply modern econometric techniques in the analysis of economic data

ILO: Discipline-specific skills

On successfully completing the module you will be able to...

• 2. formulate hypotheses of interest, derive the necessary tools to test this hypothesis and interpret the results
• 3. show a specialised knowledge of applied aspects of econometrics that will enable him/her to carry out applied research or direct them towards an academic career

ILO: Personal and key skills

On successfully completing the module you will be able to...

• 4. have technical expertise in computing software, particularly econometric software, to tackle empirical problems
• 5. demonstrate confidence in identifying, tackling and solving research problems

Syllabus plan

• Topics:

• Topics in estimation techniques:

       1. Maximum Likelihood Estimation

       2. Generalized Method of Moments

• Topics in Microeconometrics:

     1. Binary choice Models and Limited Dependent Variables

       2. Panel Data Models

• Topics in Time Series:

1. Univariate Time Series Models

2. Multivariate Time Series Models

3. Unit Roots and Cointegration

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

Details of learning activities and teaching methods

Formative assessment

Summative assessment (% of credit)

Details of summative assessment

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

Indicative learning resources - Basic reading

Cameron, C. and P. Trivedi (2005), Microeconometrics: Methods and Applications, Cambridge University Press.
Greene, W. (2008), Econometric Analysis, New Jersey: Prentice Hall, 6th Edition. (main textbook.)
Hamilton, J. D. (1994), Time Series Analysis, Princeton University Press.

Key words search

Microeconometrics, time series.