|Assessment length / details
|Assessed practical in Semester 1
|Project in Semester 2
|2 Hours Essay
|Repeat failed elements or equivalent 1
|Repeat failed elements or equivalent 2 Practical - 20%, Project - 30%
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.
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.
The module will cover conceptual and practical material enabling students to both critically evaluate the empirical research of other authors and to conduct their own analyses. From essential foundations discussed in semester 1 the module progresses to an advanced level study of econometrics.
Introduction to CAPM and OLS
Features of OLS and interpretation of results
Multicollinearity and Micronumerosity
Functional form and Normality
Univariate Time Series Modelling
Multivariate modelling: Estimation of Simultaneous Equations Models
Modelling Long-run Financial Relationships: Unit Roots and Cointegration
Modelling Volatility in Financial Time Series
Models that combine cross-section and time-series data
This module is at CQFW Level 7