This course will build on material covered in the Statistical Analysis (ACCFIN2018) course. It will extend knowledge on a set of important tools in modelling financial and accounting data and testing beliefs about how financial markets function. This course will also test theories on whether firms' decision makers are involved in value enhancing investments by relying on both econometric techniques and finance theory covered in Finance 1 and Finance 2. Among other important topics to be covered, students will be exposed to the multivariate case based on the Ordinary Least Squares (OLS) technique, Time Series Analysis methods, as well as Forecasting techniques.

Lectures: 2 hours of lectures × 10 weeks.

Labs: 1 hour of lab × 8 weeks.

Lab slots can be selected on MyCampus.

Econometrics 1: Introduction to Econometrics (Exchange Students) ECON4083

Econometrics 1: Introduction to Econometrics ECON4003

Econometrics 2: Multiple Regression and Applications ECON4004 (must not be taken in the same Semester; preferably the ACCFIN4079 should be taken first and then the ECON4004)

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Reassessments are normally available for all courses, except those which contribute to the Honours classification. For non-Honours courses, students are offered reassessment in all or any of the components of assessment if the satisfactory (threshold) grade for the overall course is not achieved at the first attempt. This is normally grade D3 for undergraduate students and grade C3 for postgraduate students. Exceptionally it may not be possible to offer reassessment of some coursework items, in which case the mark achieved at the first attempt will be counted towards the final course grade. Any such exceptions for this course are described below. 

The aim of the course is to provide students with an advanced understanding of some important concepts of econometrics. Specifically, building on some concepts that have been covered in earlier statistics course(s), this course will introduce the multivariate OLS method, as well as the properties of OLS estimators. The course will also introduce linear stochastic time series models and their applicability to financial data, the application of co-integration techniques to financial data, as well as the application of ARCH and GARCH techniques in modelling volatility (risk) in financial markets. After finishing this course, students are expected to have insights that are of academic interest and practical importance on crucial elements influencing financial decisions which will be derived from the analysis of financial or accounting data.

By the end of this course students will be able to:

1. Evaluate the properties of OLS estimators and adjust them to accommodate statistical irregularities.

2. Understand the testable channels, including the robustness checks, and the challenges involved in verifying a theoretical proposition or hypothesis.

3. Analyse financial and accounting data by applying appropriate econometric tools. 

4. Critically assess corporate financing, investment and strategy decisions. 

5. Critically refer to existing literature and empirically test research hypotheses.

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