School of Economics and Finance

ECOM108 - Applied Econometrics (Macro and Finance)

The aim of this module is to provide students rigorous training in econometric methods that are heavily in use in empirical research on Macroeconomics and Finance. The module covers models that are used to estimate dynamic relationships between variables, models with time-varying parameters and stochastic volatility, regime switching models and dynamic stochastic general equilibrium models. Each topic is introduced from a theoretical perspective and then students are trained in the application of these methods using software like Eviews and Matlab. The course introduces students to recent applications of these methods in Economics and Finance and trains them in the practical aspects of carrying out advanced empirical research.