# INTERMEDIATE ECONOMETRICS - 2019/0

Module code: ECO2010

## Module Overview

This module follows on from Introductory Econometrics and considers econometric theory and methods when Gauss Markov assumptions fail to hold. The first half of this module introduces different examples of the endogeneity problem and their solutions. The second half deals with stationary and nonstationary time series.

### Module provider

Economics

SRISUMA Sorawoot (Economics)

### Module cap (Maximum number of students): N/A

Independent Learning Hours: 118

Lecture Hours: 22

Laboratory Hours: 10

Semester 2

## Prerequisites / Co-requisites

ECO2047 (Introductory Econometrics) is a pre-requisite for this module

## Module content

Indicative content includes:

• Instrumental variables, two stage least squares

• Panel data model with fixed effects

• Simultaneous equations

• Introduction to time series methods, Distributed lag models, Autocorrelation

• Lag dependent variable models, Non-stationary time series

## Assessment pattern

Assessment type Unit of assessment Weighting
School-timetabled exam/test 1 HOUR MCQ TEST (30 COMPULSORY QUESTIONS) 15
School-timetabled exam/test 1 HOUR LAB TEST (10 COMPULSORY QUESTIONS) 15
Examination 2 HOUR EXAMINATION 70

Not applicable

## Assessment Strategy

The assessment strategy is designed to provide students with the opportunity to demonstrate:

Their understanding of basic econometric methods, and ability to apply these techniques to analyse time series data and linear models with endogeneity that may arise from omitted variables, unobserved heterogeneity or simultaneous equations.

Thus, the summative assessment for this module consists of:

• Two coursework assessments. Each is worth 15% of the final mark consisting of:

• 1 hour MCQ test.

• 1 Hour Lab test based on Eviews.

• Final exam of two hours. The exam consists of two parts, A and B. Part A consists of fifteen True or False questions . The students have to choose 3 out of 4 long questions in Part B. Part A is worth 25% of the exam. Part B is worth 75%.

Formative assessment and feedback

Students receive verbal feedback during lectures and tutorials through direct questioning (in which multiple questions and real-world examples of the use of economics are discussed). In addition to this, they receive guideline solutions to tutorial questions, against which they can compare their own results. After the test feedback is provided for all individual questions.

## Module aims

• Introduce students to the techniques relevant for the estimation in the presence of endogenous variables and of econometric time-series models.
• An important emphasis of the course is to give students with ‘hands-on' learning experience of econometric analysis using a variety of economic data sets along side the theory. For this purpose, a number of datasets will be made available to undertake econometric analysis using the EViews software package.

## Learning outcomes

 Attributes Developed 1 Understand various forms of the endogeneity problem and the solutions that can be used to overcome it. This includes methods involving instrumental variables, estimation of simultaneous equations and simple panel data models. KCPT 2 Interpret econometric models with a variety of functional forms including those with lagged independent and dependent variables. KCPT 3 Understand a number of concepts relating to OLS estimation with time series data. KCPT 4 Apply econometric techniques using E-views and interpret the output obtained. KCPT

Attributes Developed

C - Cognitive/analytical

K - Subject knowledge

T - Transferable skills

P - Professional/Practical skills

## Methods of Teaching / Learning

The learning and teaching strategy is designed to:

• Develop skills in analysing economic data in more realistic situations where Gauss Markov assumptions do not hold

• Appreciate the complexities of econometric analysis, understanding importance and intuition behind various estimation strategies and tests

The learning and teaching methods include:

• 2 hour lecture per week x 11 weeks

• 1 hour lab session / tutorials per week x 10 weeks

Indicated Lecture Hours (which may also include seminars, tutorials, workshops and other contact time) are approximate and may include in-class tests where one or more of these are an assessment on the module. In-class tests are scheduled/organised separately to taught content and will be published on to student personal timetables, where they apply to taken modules, as soon as they are finalised by central administration. This will usually be after the initial publication of the teaching timetable for the relevant semester.