Building on the material covered in Econometrics I and Econometrics II this ...
students to apply econometric theory to real world examples. ... Enders, W. 2009.
ECN4194 Intermediate Econometrics Lecturer: Professor Stuart Hyde Email:
[email protected] Skype: stuart.hyde2 Tutor: Dr Carl Camilleri Email:
[email protected] Aims and Learning Outcomes The course is intended to expose students to important econometric techniques used in empirical Economics and to facilitate awareness in students of how these techniques can be used and applied. Building on the material covered in Econometrics I and Econometrics II this intermediate course will further develop and understanding of theory and methodology and also develop the ability of students to apply econometric theory to real world examples. On completion of this course successful students will: • • •
Have a knowledge and understanding of intermediate techniques and skills in econometrics Have an awareness of how to apply econometric models in practice to relevant data Be able to demonstrate their familiarity with an econometric software program
Delivery The course will comprise of lectures with additional lab sessions which explain how to use software (e.g. EViews) to estimate the various models and methodologies covered in lectures. Assessment The course will be assessed by homework problem sets (20%) and an unseen final examination (80%). Details of the problem sets will be provided during the first set of lectures. Suggested Texts: The main text for the course is: Enders, W. 2009. Applied Econometric Time Series (3rd ed.), Wiley. This text covers the majority of the material covered over the duration of the course. However you will be provided with comprehensive notes covering all material and especially any material not covered in this text. Alternatives: There are many alternative texts which will provide useful background material and should be available from the library. In fact any “Econometrics” text will cover most aspects of the course. A few suggested alternatives would be: Stock, J., Watson, M. 2007. Introduction to Econometrics, Pearson – Addison Wesley.
Brooks, C. 2008. Introductory Econometrics for Finance (2nd ed.), Cambridge University Press. Harris, R., Solis, R. 2003. Applied Time Series Modelling and Forecasting, Wiley. Additional references will be provided during the course. Syllabus • •
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Review of mathematical concepts, probability and statistics Stock & Watson, ch. 2, 3. Linear regression analysis, hypothesis testing and diagnostic tests Stock & Watson, ch. 4, 5, 6, 7. Brooks, ch. 2, 3, 4. Stationary and non-stationary time series analysis Enders ch. 2, 4. Brooks, ch. 5, 7.1. Modelling time varying volatility (GARCH models) Enders ch. 3. Brooks, ch. 8. VAR models Enders, ch. 5. Brooks, ch. 6. Error correction models and Cointegration analysis Enders, ch. 6. Brooks, ch. 7. Nonlinear time series models Enders, ch. 7. Brooks, ch. 9.
Lab Sessions The course also consists of a series of lab sessions which provide practical teaching in EViews to be able to implement the models and methodologies taught. In addition to the material used during these lab sessions students might find the following online resources useful: http://wiki.humanities.manchester.ac.uk/ECLR/index.php/EVIEWS http://www.kevinsheppard.com/wiki/Eviews
