Studying at York
Econometrics I & II - ECO00047M
- Department: Economics and Related Studies
- Credit value: 20 credits
- Credit level: M
- Academic year of delivery: 2022-23
Module will run
| Occurrence | Teaching period |
|---|---|
| A | Autumn Term 2022-23 to Spring Term 2022-23 |
Module aims
To equip students with intermediate level knowledge of the core techniques employed in modern econometric analysis so that they are able:
to follow the techniques and arguments used in a range of empirical papers in Economics and Finance; and,
to undertake a successful empirical dissertation.
See also description of Econometrics 1
Module learning outcomes
On completing the module a student should be able:
To recognise and interpret various mathematical objects that arise in the theory of least ssquares estimation and testing.
To extend these skills to the estimation and testing of models under conditions that commonly arise in economic and financial data, including:
non-linear models
disturbances that are heteroskedastic and/orserially correlated
depedent variables that are qualitative (can only take one of a finite number of values) or limited to the range of values they can take
regressors that are endogeneous, through instrumental variable estimation and the generalised method of moments
and
variables that are driven by the long-run trends.
To present and derive key statistical results discussed during the module at an appropriate mathematical level
and
To interpret correctly the results of empirical statistical analysis as performed using contemporary econometric software.
Indicative assessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 50 |
| Closed/in-person Exam (Centrally scheduled) | 50 |
Special assessment rules
None
Indicative reassessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 50 |
| Closed/in-person Exam (Centrally scheduled) | 50 |
Module feedback
Feedback will be given in line with University guidelines
Indicative reading
Heij, C. et al, Econometric Methods awith Applications in Business and Economics. Oxford University Press 2004.
Greene, W., Econometric Analysis. Prentice Hall 2008. ( for more advanced students)