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.

Study as an individual module

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.