(Revised November 2002)
Code: UPEN3P-15-M Title: Econometrics Version: 1
Level: M UWE credit rating: 15 ECTS
credit rating: 7.5
Module type: Standard
Owning Faculty: HLSS Field: Economics
Valid from: September 2004 Discontinued from:
Pre-requisites: None
Co-requisites: None
Excluded combinations: None
Learning outcomes:
By the end of the
module a student should:
·
have a knowledge and understanding of econometric analysis to an advanced level (Component A & B)
·
have a knowledge and understanding of the value and limitations of econometric techniques (Component A &
B)
·
develop a critical perspective on the use of econometric analysis.
(Components A and B)
·
be
proficient in using an advanced econometric package; (Component A & B)
·
be able
to independently
replicate econometric analyses of economic data. (Component
B)
Syllabus outline:
·
The
simple (two-variable) regression model.
·
Multiple
regression.
·
Statistical
inference and hypothesis testing (the classical criteria: Wald, Likelihood
ratio and Lagrange multiplier tests).
·
Violation
of the assumptions of the classical regression
model.
·
Autocorrelation
and dynamic models.
·
Time
series modelling.
·
Heteroskedasticity
and Multicollinearity.
·
Diagnostic
checking, model selection and specification.
·
Limited
dependent
variable models.
·
Simultaneous
equation models.
·
Unit
roots, VARs and Cointegration.
Teaching and learning
methods:
Lectures
and workshops will complement each other. Workshops will be computer based
exercises on Microfit 4.1 and will allow students to work through the topics
covered in the lectures.
Indicative sources:
Maddala, GS., 2001, Introduction
to Econometrics, John Wiley.
Pindyck, RS., 2000, Econometrics
Models and Economic Forecasts, McGraw Hill.
DN Gujarati and White, 2002, Basic
Econometrics, McGraw-Hill.
Carter
Hill, R, WE Griffith, GG Judge, 2000, Undergraduate
Econometrics, John Wiley.
Greene,
WH., 1999, Econometric Analysis,
Macmillan.
RL Thomas, 1997, Modern
Econometrics: An Introduction
Addison-Wesley.
Pesaran, MH and
Pesaran B.,
1997, Microfit 4.0 Manual (Windows Version), Oxford
University Press, ISBN 0-19-268531-7.
Assessment
Weighting between
components A and B A:
50% B: 50%
ATTEMPT 1
First Assessment
Opportunity
Component A
Description of each element Element
weighting
1. Unseen
exam, 2 hours 50%
Component B
Description of each element Element
weighting
1. Individual
coursework assignment using Microfit of up to 2000 words 50%
Second Assessment
Opportunity (further attendance at taught classes is/is not required)
Component A
Description of each element Element
weighting
1. Unseen
exam, 2 hours 50%
Component B
Description of each element Element
weighting
1. Individual
coursework assignment using Microfit of up to 2000 words 50%
SECOND (OR SUBSEQUENT)
ATTEMPT: Attendance at taught classes is not required.
Specification confirmed by: Module approved at VARSC 13.05.04.
Date ……………………………
(Associate Dean/Programme
Director)