Term 1 & 2

Module leader

Valentina Corradi (Term 1)

Gianna Boero (Term 2)

Class Tutor

Federica Liberini

Aims

This is an introductory graduate-level econometrics module. The module contains some theory, methods, and applications using economics and financial data. It is not a financial econometrics module, although some financial econometrics topics will be covered, especially in the second term.

Contents

This module will provide thorough training in econometrics with an emphasis on empirical modelling of economic and financial data. It will enable students to develop the necessary skills to enable them to carry out good quality empirical research. This module is a postgraduate-level introduction to econometrics. Technical prerequisite is a thorough knowledge of undergraduate-level statistics and elementary mathematics for economics/business. By the end of the module the students would have (i) a deeper and broader knowledge and understanding of material needed for empirical quantitative analysis from the undergraduate degree; (ii) developed the habit of thought, knowledge and understanding to be able to carry out good quality applied econometric research with confidence and authority; (iii) gained the necessary skills to interpret and communicate their results to a non-technical audience; (iv) developed critical insight to appraise econometric results obtained by other researchers. The emphasis throughout the module is on the application of standard techniques and students are not generally required to derive results from first principles or to prove theorems.

Organisation

Teaching will consist of two lectures per week during Terms 1 and 2. In addition, there will be one tutorial class per week. Classes start in Week 3 of Term 1 and week 2 of Term 2.

• Monday 1pm-3pm B1.19

Problem Classes
Theoretical work will be accompanied by computer classes. The econometric software EViews will be used.

Readings

• Wooldridge,J. M. (2009) Introductory Econometrics: A modern approach, fourth edition, South-Western Cengage Learning.
• Brooks, Chris, (2008) Introductory econometrics for finance, 2nd edition, Cambridge.
• Greene, W. H., (2003) Econometric Analysis, Fifth Edition, Prentice Hall.
• Verbeek, 2005,

• Enders, W, (2004) Applied Econometric Time Series, Second Edtition, Wiley, (Ch.2,3,4,6).
• Engle, R.F., (1995) ARCH selected readings, OUP, (Ch.1, 2, 3, 7).
• Ruey S. Tsay, (2005),, Analysis of Financial Time Series, Wiley Series in Probability and Statistics, 2nd edition.

• Alexander, Carol, (2001) Market Models: A guide to financial data analysis, Wiley.
• Patterson, Kerry, (2000) An Introduction to Applied Econometrics - a time series approach, Macmillan.

Additional references will be given in the lectures.

Access restricted to Warwick

Lecture notes
Problem sets
Project handout