Term 1 & 2

Module leader

Mike Clements & Wiji Arulampalam

Aims

To give students a good grounding in modern econometric techniques, and the ways in which these are applied in the empirical analysis of economic data.

Learning outcomes

By the end of the course students should feel comfortable reading the recent applied economics/econometrics literature. They will be able to interpret critically empirical results, including the vast array of diagnostic and test statistics often reported, and to come to a balanced view concerning the weight of the empirical evidence presented. Students will be able to produce their own high quality empirical econometric analysis.

Contents

The first term covers the econometric modelling of economic and financial time-series data. This will include the investigation of dynamic econometric models with applications in empirical macroeconomics. Topics covered include: "atheoretical" macroeconometrics, vector autoregressions, Johansen's cointegration approach, IV, TSLS and Generalised Method of Moments estimation, Hall's rational expectations permanent income hypothesis, simulation techniques, models of conditional variances; producing and evaluating point and interval forecasts.

The second term will emphasis microeconometric applications, and will cover: Maximum Likelihood Estimation, Likelihood-Ratio, Wald and LM tests, model evaluation, construction of diagnostic tests, functional form misspecification, parameter variation, heteroscedasticity and non-normality, discrete choice models, models with censored and truncated dependent variables, Tobit models, endogenous selection and switching models, Heckman's two-step estimator. The second term will also cover panel data models.

Organisation

Two lectures per week plus seminars approx. every 2 weeks and a Stata seminar in Week 3. Please see Teaching Timetable

Pre-requisites

An undergraduate module in introductory econometrics.

Key Readings

Greene, William H., Econometric Analysis, 6th. Edition (Pearson, 2008, paperback).

Assessment

An empirical project to be completed by the end of the Term 2, the submission deadline is Monday 19th March 2012, 3.30pm. (Electronic Submission) The project has a 25% weight and a 3-hour written exam in May a 75% weight in the overall assessment of this module.