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Econometrics

Module code: ACFI 2302

Module description

Econometrics is the branch of statistics that deals with the measurement and analysis of economic data. As in other fields of social sciences, finance and economics are predominantly interested in formulating economic relationships that best explain real-world phenomena and then empirically test these theories for the purpose of deriving new knowledge. The process of analysing economic data with the purpose of providing empirical content to finance and economic theories and either verify them or refuting them takes place through the use of econometric applications. This module extends students' knowledge of the area of economic analysis and modelling introduced in year one modules Mathematics for Economists and Statistics and Probability Theory, by introducing students to the scope and methodology of Ecometrics. Students will be introduced to the theory and practical aspects of the basic econometric modelling technique such as the Classical and Multiple Regression models. Students' exposure in econometric modelling concludes with the study of simultaneous equation econometric models.

Indicative module content is likely to include:

  • Introductory Review: Basic statistical concepts; Probabilty theory; Matrix algebra
  • Simple Linear Regression
  • The methods of moments and Ordinary Least Squares (OLS)
  • Analysis of variance in a two-variable linear regression model
  • Prediction: Dealing with outlinears; Inverse prediction in the OLS; Stochastic Regressors
  • Multiple Linear Regressions
  • The LR, W and LM tests
  • Heteroscedasticity
  • Autocorrelation
  • Multicollinearity
  • Ridge regression
  • Principle component regression: Dropping variables from the model and other solutions
  • Probit and Logit models: Using truncated variables
  • The use of the Maximum Likelihood Estimation method
  • Simultaneous Equations Models

Contact hours per student per year

  • Lectures: 22 hours
  • Tutorials: 22 hours

Assessments

  • Group Assignment 1: 30%
  • Group Assignment 2: 30%
  • Phase test: 40%

Additional Costs: No extra costs other than purchase of books

 
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