Module Information

Module Identifier
Module Title
Academic Year
Semester 1 (Taught over 2 semesters)
Other Staff

Course Delivery

Delivery Type Delivery length / details
Lecture 2 Hours.
Seminars / Tutorials 2 Hours.
Other 2 Hours. Computer Classes


Assessment Type Assessment length / details Proportion

Learning Outcomes

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 of 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.


The module is an advanced level study of econometrics. We will examine the uses of econometrics in the study of financial institutions and markets. Building from basic principles in finance and statistics we will discuss the practical application, both in the interpretation of empirical results in finance and the use of computers to estimate original models.

Reading List

General Text
Brooks, Chris (2002 (various p) Introductory econometrics for finance /Chris Brooks. Cambridge University Press Primo search Gourieroux, Christian (2001.) Financial econometrics :problems, models, and methods /Christian Gourieroux and Joann Jasiak. Princeton University Press
Recommended Text
Copeland, T. E. and Weston, J.F. (1992) Financial Theory and Corporate Policy Addison Wesley Primo search Enders, W. (1995) Applied Econometric Time Series Wiley Primo search Greene, W.H. (2002) Econometric Analysis 5 Edition Prentice Hall Primo search Gujarati, D.N. (2003) Basic Econometrics 4 Edition Mcgraw-Hill Primo search Kennedy, P (1992) A guide to Econometrics Various Editions Blackwell Primo search Newbold, P. (1995) Statistics for Business and Economics 4 Edition Prentice Hall Primo search


This module is at CQFW Level 7