A basic understanding of econometrics has three major benefits. First, it helps students/readers to understand research outputs with econometric work. Second, students could undertake economic analysis by themselves. Third, students could also develop their ability to obtain a perspective on econometric work which would be useful for their further study/research/work.
In this course, the topics cover wide ranges of the theoretical and practical fundamental concepts of econometrics. The emphasis is, however, on analytical methods. General techniques for forecasting and estimating are explained. The topics also include testing hypotheses and statistical inference.
Aims
To provide students with a broad concept of econometrics.
To equip students to understand and evaluate most applied analysis of economic data and to undertake such analysis by themselves.
Lectures cover econometric theories and applications on Economics
Tutorials
Three problem sets will be distributed in the lecture and workshop. They are designed to help understanding of the course by providing examples and further illustrations of the course content. Students are required to submit all assignments by 4pm of Saturdays. The mark given for a written work will be counted in the final course assessment. NOTE THAT THE SET OF ASSIGNMENTS ARE DIFFERENT FOR EACH STUDENT. There are also 3 three-hour classes which students will learn how to use the programme to estimate the models taught in the module. Each student will be given 2 sets of data for computer workshops and a term paper.
Assessment
40% of marks will be determined by 3 submitted written works. (1st: 10%, 2nd: 20%, 3rd:10)
30% of marks will be determined by a term paper of empirical study
30% of marks will be determined by an examination
Reading
The basis of this module is provided by:
Stock, J.H. and Watson, M.W., “Introduction to Econometrics”, Pearson Education, 2007.
Enders, W., “Applied Econometric Time Series”, Wiley, 2003
Additional materials covering more advance econometrics and applications include following textbooks.
Pindyck, R. and Rubinfeld, L., “Econometric Models and Economic Forecasts”, Pearson Education, 1998.
Gujarati, D.N., “Basic Econometrics”, McGraw-Hill, 2003.
Greene, W.H., “Econometric Analysis”, Pearson Higher Education, 2003.
Hamilton, J.D., “Time Series Analysis”, Princeton University Press, 1994.
Campbell, J.Y. and Lo, A.W. and MacKinlay, A.C., “The Econometrics of Financial Markets”, Princeton University Press, 1997.
Also, student should review basics of Statistics before taking this course. Following are suggested textbooks
Anderson, D.R. Sweeney D.J. and Williams T.A., “Essentials of Statistics for Business and Economics", South Western/Thompson Learning, 2003
Kohler, H. "Statistics for Business and Economics" South Western/Thompson Learning, 2002