ECON41515: ECONOMETRIC ANALYSIS

• One econometrics module or equivalent quantitative module covering basic statistics and probability theory including distributions as well as hypothesis testing.

• None

• Econometric Methods (FINN41715); Financial Modelling and Business Forecasting (FINN41615)

• to provide students with some of the econometrics skills necessary to pursue empirical research in economics and/or finance;
• to provide a basis for understanding more advanced econometric techniques to be taught in the second term of the MSc programme.

• Linear Regression Model using Matrix Algebra, Gauss-Markov, Identification, OLS, finite sample properties of the OLS estimator
• Hypothesis testing and Confidence intervals
• Asymptotic properties of the OLS estimated
• Misspecification and dummy variables
• GLS, autocorrelation and heteroskedasticity
• Endogeneity, Simultaneity, Instrumental Variables (IV) estimation
• Generalized Methods of Moments (GMM)
• Maximum Likelihood (ML)

Subject-specific Knowledge:

• By the end of the module, students should:
• have a thorough knowledge of the key econometric concepts, principles and methods.

Subject-specific Skills:

• By the end of the module, students should:
• have the ability to apply econometric methods and interpret the results at an advanced level;
• be able to use a range of econometric tools to conduct their own empirical investigations;
• have problem solving skills and have practised the use of econometric software.

Key Skills:

• Written Communication;
• Planning, Organisation and Time Management;
• Problem Solving and Analysis;
• Using Initiative;
• Numeracy;
• Computer Literacy.

• A combination of lectures, workshops, computer classes and guided reading will contribute to achieving the aims and learning outcomes of this module.
• The summative assessment comprises a two-hour examination to rest students' knowledge of key econometrics concepts, methods and principles, and their problem solving skills, plus a short project to test their ability to apply these methods and interpret the results.

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