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Econometric analysis and applications

M432

Econometric Analysis and Applications is the second, more advanced, econometrics module offered to those wanting to broaden their understanding of the application of quantitative methods to Finance.

Topics covered

  • Unit 1: Dummy Variables
  • Unit 2: Dynamic Models: Lags and Expectations
  • Unit 3: Simultaneous Equation Models
  • Unit 4: The Identification Problem
  • Unit 5 Simultaneous Equation Models: Estimation
  • Unit 6: Univariate Time Series: Stationarity and Nonstationarity
  • Unit 7: Multivariate Time Series Analysis
  • Unit 8: Forecasting

Assessment

  • one three-hour unseen written examination (70%)
  • two tutor marked assignments (30%)

Essential reading

  • Gujarati, DN & DC Porter (2009) Basic Econometrics, 5th Edition, McGraw-Hill.