Applied Econometrics - ECOX5003

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Module delivery information

Location Term Level1 Credits (ECTS)2 Current Convenor3 2021 to 2022
Canterbury
Summer Term 5 30 (15) Iain Fraser checkmark-circle

Overview

This module builds on the introductory data analysis and statistics modules in Stage 1. The quantitative estimation and evaluation of economic models are essential parts of the study and application of economics. This module provides an introduction to econometric theory and the application of econometric techniques to economic models and data. This is achieved by explaining key economic and econometric issues using applications of econometrics that quantify and evaluate economic theory and which provide an empirical evaluation of economic behaviour and the assessment of economic policy.

The module provides both an analytical and practitioner introduction to econometric theory, equipping students with the analytical tools to carry out applied econometric work and to explore more advanced areas of econometric theory at later stages of their chosen degree course. The practice and application of econometrics is achieved using both Microsoft Excel and specialist econometric software.
The topics considered in the module include:
• Models and data; ordinary least squares (OLS), properties of OLS, multiple linear regression, inference, confidence intervals, hypothesis tests, multicollinearity, heteroscedasticity, autocorrelation, dummy variables, functional form, linear restrictions, diagnostic testing and panel data.

• Stationary and non-stationary data; trend- and difference-stationary processes, stationary autoregressive models, multivariate stationary models, spurious regression, cointegration, ADF tests, forecasting.

Details

Contact hours

Directed learning time 200 hours
Private study time 100 hours
Total study hours 300 hours

Availability

Available on Economics BSc (Professional Economist) course only.

Method of assessment

VLE Quiz 1 (25 minutes) (12.5%)
VLE Quiz 2 (25 minutes) (12.5%)
VLE Quiz 3 (25 minutes) (12.5%)
VLE Quiz 4 (25 minutes) (12.5%)
1,500 word econometric report (50%)

Indicative reading

The main text for the module is:

• J Wooldridge (2016), Introductory Econometrics: A Modern Approach, 6th ed, Cengage
Other examples are

• C Dougherty (2011), Introduction to Econometrics, 4th ed, Oxford University Press
• D Gujarati and D Porter (2010), Essentials of Econometrics, 4th ed, McGraw-Hill
• G Maddala and K Lahiri (2009), Introduction to Econometrics, 4th ed, Wiley
• M Verbeek (2012), A Guide to Modern Econometrics, 4nd ed, Wiley

Learning outcomes

On successfully completing the module students will be able to:
8.1 Perform data transformations relevant to the analysis of the type of data and model
8.2 Identify and appreciate the different types of models, data and data sources in economics
8.3 Apply tests of model adequacy, particularly tests of the basic assumptions of the classic linear regression framework
8.4 Interpret and analyse empirical results obtained from the application of time-series and cross section econometrics to economic data

Notes

  1. Credit level 5. Intermediate level module usually taken in Stage 2 of an undergraduate degree.
  2. ECTS credits are recognised throughout the EU and allow you to transfer credit easily from one university to another.
  3. The named convenor is the convenor for the current academic session.
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