Topics in Econometrics (IFP/ IFJ6006)
Overview
Topics to Econometrics will extend your knowledge of regression analysis to topics in time series, panel data analysis and instrumental variables. The methods taught in this module are employed in the economics, finance and many social science disciplines. The level of mathematical treatment is equivalent to that covered on an undergraduate advanced applied econometrics course. As an applied course we will not dwell upon derivations but focus on using regression analysis. The module will provide a solid base in applied econometrics, enabling you to become a competent user of time series regression analysis.
Module Structure:
2 hour lecture x 11 weeks
1 hour computer lab seminar x 11 weeks
Independent study exercises, which are an important learning tool, will be set each week and you will be required to complete these outside the classroom.
Learning Outcomes
By the end of this course you should be able to:
- Understand the basic assumptions and results of time series and panel regression analysis
- Develop an understanding of the key issues with time series and panel regression analysis: such as autocorrelation and volatility
- Able to identify and correct for key issues with time series and panel regression analysis
- Use time series and panel regression analysis to develop an appropriate model of an economic theory
- Use STATA and Eviews software
- Critique econometric models produced by other people
- Develop confidence in use of time series and panel regression analysis
- To discuss the results of these models with non-economists in non-technical language
Aims
To provide a comprehensive introduction to applied time series and panel data econometrics, as would have been obtained on a standard economics or finance undergraduate degree. The course will focus on time series regression, panel data analysis and instrumental variable regression, their uses and common problems. The course is particularly useful if you are likely to be going onto economics and finance or related subjects’ masters’ courses.
Assessment
The overall grade for this course is determined by two assessments.
IRP Integrated Assignment – 30%
Final Exam – 70%
Core Text:
Gujarati D. (2011) Econometrics by Example, Palgrave Macmillan.
Who teachers this module?
Elmina Homapour