Module code: ACFI 5041

Module description

This module extends students' knowledge of the area of quantitative research methodology by introducing students to the scope and methodology of econometrics. Analytically, students will be introduced to the theory and practical aspects of the basic econometric modelling technique such as the classical linear regression and the multiple regression models, specification testing, violation of the key assumptions of CLR such as the cases of heteroscedasticity, autocorrelation and multicollinearity, the generalised method of moments (GMM), error correction models, ARCH-GARCH and time-series forecasting. Overall, students will be exposed to the following topics:

  • Introduction to Econometrics
  • Simple Linear Regressions
  • Multiple Linear Regressions
  • Specification Testing
  • Misspecification Testing: The problems of heteroscedasticity, autocorrelation and multicollinearity
  • Special Cases in MLR: The use of dummy variables, Probit, Logit and other limited dependent variables
  • Error-Correction Models and Cointegration
  • Introduction to ARCH and GARCH modelling
  • Time Series Forecasting

Contact hours per student per year

  • Seminars: 36 hours


  • Volatility modelling: 50%
  • Regression modelling: 50%

Additional costs: No extra costs other than purchase of books

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