Advanced Econometrics
Year: 2009-2010
Course credits: 20
Course code: 0SSS
Semester: 2
Course co-ordinator and lecturer: Professor Richard Harris
Prerequisites: Basic Econometrics (0SRS) or a good Econometrics background from previous study
Course description
The course examines some recently developed topics in econometric theory, which are extensively used in a wide range of economic and financial empirical applications. The focus is on time series and panel data models, from both a theoretical and an empirical perspective. On successful completion of this course, students are expected both to understand how econometric concepts can be applied to economic and financial theories, and to have the ability to test for highly debated issues, such as the statistical properties of macroeconomic time series, the existence of a consumption function, convergence in world per capita income, purchasing power parity, the efficient market hypothesis, and volatility in financial markets.
Learning and teaching methods
Ten 2-hour lectures and five 2-hour applied classes
Course texts
- The recommended text for this course is Harris, R. and Sollis, R. (2003). Applied Time Series Modelling and Forecasting, Wiley.
Other recommended readings include:
- Dougherty, C. (2007). Introduction to Econometrics, OUP.
- Enders, W. (2009). Applied Econometric Times Series, 3rd Edition, Wiley.
Assessment
- Coursework (25%) and examination (75%).
- Coursework: 1 quantitative / computer assignment.
- Examination: two-hour written examination taken at the April / May examination diet.