(Revised November 2002)
Code: UPEN3Q-15-M Title: Applied 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: Econometrics
Excluded combinations: None
Learning outcomes:
Students
will:
·
Gain an advanced in depth knowledge of topics in applied econometrics
(Components A & B).
·
Develop an understanding of econometric techniques in an empirical
setting (Components A & B)
·
Develop skills in the application of econometric methods to economics
(Component B)
·
Learn how to use econometric techniques to undertake empirical work
(Component B)
·
Have an
advanced in depth knowledge of a number of topics in applied econometrics.
(Component A)
·
Develop skills in data collection and analysis (Component B)
·
Develop skills required to undertake independent applied economics academic
research to an advanced level (Component B)
·
Develop a critical perspective on the use of
applied econometric analysis. (Components A & B)
Syllabus outline:
·
the linear model in matrix notation;
·
time series modelling;
·
cointegration and unit roots;
·
vector autoregression and Granger causality;
·
cross sectional methods; discrete choice modelling;
·
sample selection; pooling data.
·
Panel data method
These
will be taught as part of applied topics including:
·
Demand analysis;
·
Modelling industrial structure
·
Macroeconometric modelling
·
Modelling consumption,
·
Modelling the labour market;
·
Estimating Production functions;
·
Modelling stock price volatility.
Teaching and learning
methods:
Lectures
and workshops will complement each other. Early workshops will allow discussion
and advice on project proposal, once topics are being covered in the lecture
the workshops will be computer based, with students replicating and discussing
relevant pieces of empirical work..
Indicative sources:
Much
of the reading will come from journal articles, but useful companion texts
include:
Applied:
M
Intriligator, R Bodkin & C Hsaio, 1996, Econometric
Models, Techniques & Applications, Prentice
Hall.
RL
Thomas, 1985, Introductory Econometrics:
Theory and Applications, Longman.
ER
Berndt, 1991, The Practice of Econometrics,
Addison Wesley
T
Mills, 1993, Applied Financial
Econometrics, Cambridge University Press
General:
Patterson,
K., 2000, An Introduction to Applied
Econometrics, Palgrave.
J
Johnston & J DiNardo, 1997, Econometric
Methods, McGraw Hill.
WW
Charemza and DF Deadman, 1997, New
Directions in Econometric Practice, Edward Elgar
J
Stewart, 1991, Econometrics, Philip
Allan.
AC
Darnell and JL Evans, 1990, The Limits of
Econometrics, Edward Elgar
WH
Greene, 1999, Econometric Analysis,
Prentice Hall, 4th Edition.
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 of up to 2000 words 50%
Second Assessment
Opportunity (further attendance at taught classes 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 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)