Module Identifier ECM1020  
Module Title ECONOMETRICS  
Academic Year 2001/2002  
Co-ordinator To Be Arranged  
Semester Semester 2 (Taught over 2 semesters)  
Pre-Requisite Registered on the MSc Accounting and Finance  
Course delivery Lecture   1 lectures per week over semester 1 and 2  
  Seminars / Tutorials   1 seminars per week over semester 1 and 2  
Assessment Semester Exam   2 Hours   50%  
  Semester Assessment   Project   30%  
  Semester Assessment   assessed practical   20%  

Aims


The module is an advanced level study of econometrics. The module is a combination of two existing MSc level econometrics modules and will be core on the revised MSc Accounting and Finance scheme. The module will not be available to students registered on other degree schemes.

Brief description


The module is an advanced level study of econometrics. On completion of this module students should be able to: Critically evaluate (1) the use of classical linear regression in estimation and inference, (2) the consequences of the failure of the classical regression assumptions, their diagnosis, consequences and solutions, (3) the specification, estimation and properties of dynamic time series models, including those with dynamic error structures, (4) the specification, estimation and properties of simultaneous equation regression models, (5) the implications of unit roots in time series and the importance of cointegration, (6) the use single and multiple equation estimation techniques and (7) the advantages and shortcomings of panel data and the techniques for estimation of panel data models and their application.

Learning outcomes


On completion of this module students should be able to: Critically evaluate (1) the use of classical linear regression in estimation and inference, (2) the consequences of the failure of the classical regression assumptions, their diagnosis, consequences and solutions, (3) the specification, estimation and properties of dynamic time series models, including those with dynamic error structures, (4) the specification, estimation and properties of simultaneous equation regression models, (5) the implications of unit roots in time series and the importance of cointegration, (6) the use single and multiple equation estimation techniques and (7) the advantages and shortcomings of panel data and the techniques for estimation of panel data models and their application.

Reading Lists

Books
Gujarati D.. (1995) Basic Econometrics. 3rd edition. McGraw-Hill
Johnston, J. and J Dinardo. (1997) Econometrics Methods. 4th edition. McGraw-Hill
Enders W.. (1995) Applied Econometric. Time Series Wiley