Applied Econometrics 1

Module description

This module include the basic statistical foundation to study econometrics, the simple linear regression model, multi-regression model, empirical examples (CAPM, Demand function study), linear time series and nonlinear time series models.

Full module specification

Module title:Applied Econometrics 1
Module code:BEEM011
Module level:M
Academic year:2016/7
Module lecturers:
  • Dr Namhyun Kim - Convenor
Module credit:15
ECTS value:

7.5

Pre-requisites:

None

Co-requisites:

None

Duration of module: Duration (weeks) - term 1:

12

Module aims

The module aims to provide students with an applied econometric foundation necessary in order to conduct a high-standard empirical analysis of economic and finance data.

ILO: Module-specific skills

  • 1. demonstrate aptitude in the econometric techniques to analyse economic and financial data
  • 2. exhibit technical expertise to analyse the data with a econometric software package

ILO: Discipline-specific skills

  • 3. formulate hypotheses of interest, derive the necessary tools to test these hypotheses and interpret the results
  • 4. demonstrate a specialised knowledge of linking the theory and empirical questions

ILO: Personal and key skills

  • 5. solve the analytical problems and provide appropriate interpretation of the outcomes for decision making
  • 6. demonstrate data analysis skills

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

Scheduled Learning and Teaching ActivitiesGuided independent studyPlacement / study abroad
36114

Details of learning activities and teaching methods

CategoryHours of study timeDescription
Scheduled Learning and Teaching activities36Lectures (12*2 hours) and Tutorials (12*1 hour)
Guided independent study40Writing up reports from empirical analysis of real data
Guided independent study40Reading and research
Guided independent study34Learning and practicing the econometric software package

Formative assessment

Form of assessmentSize of the assessment (eg length / duration)ILOs assessedFeedback method
Weekly exercises5-10 questions1-6Verbal

Summative assessment (% of credit)

CourseworkWritten examsPractical exams
40600

Details of summative assessment

Form of assessment% of creditSize of the assessment (eg length / duration)ILOs assessedFeedback method
Two written Assignments401000 words each1-6Written
Written Exam602 hours1, 3, 4 and 5Written

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

Original form of assessmentForm of re-assessmentILOs re-assessedTimescale for re-assessment
Two assignmentsTwo assignments (1000 words each) 40%1-6July
2 hour Exam2 hour exam 60%1, 3, 4 and 5August

Syllabus plan

The syllabus plan is as follows:

  • Statistical fundamentals
  • Linear regression models
  • Empirical examples of linear regression models
  • Further issues on linear regression model
  • Linear time series
  • Nonlinear time series

Indicative learning resources - Basic reading

Basic reading:

Basic Econometrics by Damodar N. Gujarati, 2009 (McGram Hill),

Introduction to Econometrics by Christopher Dougherty, 2016 (Oxford),

The Econometric Modelling of Financial Time Series by Terence C. Mills 2008 (Cambridge)

 

Module has an active ELE page?

Yes

Indicative learning resources - Other resources

Time Series Modelling (TSM): Econometrics Software Package

Origin date

29/09/2016

Last revision date

29/09/2016