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Module Title LM Econometrics with Financial Applications
SchoolBirmingham Business School
Department Birmingham Business School
Module Code 08 06721
Module Lead Nicholas Horsewood
Level Masters Level
Credits 30
Semester Full Term
Pre-requisites
Co-requisites
Restrictions none
Contact Hours Lecture-0 hours
Seminar-0 hours
Tutorial-0 hours
Project supervision-0 hours
Demonstration-0 hours
Practical Classes and workshops-0 hours
Supervised time in studio/workshop-0 hours
Fieldwork-0 hours
External Visits-0 hours
Work based learning-0 hours
Guided independent study-0 hours
Placement-0 hours
Year Abroad-0 hours
Exclusions none
Description

This module will provide students with an understanding of modern advanced econometric procedures, with emphasis placed on interpreting econometric results and critically evaluating the techniques employed.  In the first semester there will be a technical review of the classical linear model, examining the implications when the key assumptions are violated.  This will be followed by a general survey of the main techniques in the applied literature.  Both computer and econometric classes will be support the lectures, providing utilise these for specific practical problems.

The second half of the module will focus on application of econometric techniques in finance.  It will look at stationary time series processes, difference stationary processes, the analysis of Vector Autoregressions (VAR), Cointegration, Generalised Autoregressive Conditionally Heteroskedastic (GARCH) models.

Learning Outcomes

By the end of the module the student should be able to:

  • demonstrate a comprehensive knowledge and understanding of traditional econometrics;
  • identify and critically appraise recent developments in advanced econometrics techniques and their application;
  • synthesise econometric studies in the empirical literature and critically analyse the results and the approaches adopted;
  • develop and analyse models for stationary and non-stationary time series;
  • critically evaluate the techniques employed in finance journals.
Assessment 06721-01 : Mutiple choice test 1 : Class Test (20%)
06721-02 : Multiple choice test 2 : Class Test (20%)
06721-03 : exam : Exam (Centrally Timetabled) - Written Unseen (60%)
Assessment Methods & Exceptions 3 hour written examination 60%, Two 1 hour multiple-choice tests 40% Reassessment: 3 hour examination (100%)
Other none
Reading List none