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NBS8257 : Applied Econometrics

  • Offered for Year: 2024/25
  • Module Leader(s): Dr Ian Corrick
  • Owning School: Newcastle University Business School
  • Teaching Location: Newcastle City Campus

Your programme is made up of credits, the total differs on programme to programme.

Semester 2 Credit Value: 10
ECTS Credits: 5.0
European Credit Transfer System


• To equip you with skills and knowledge in quantitative methods applied to real world data.
• To teach you how to use econometric software to analyse data and how to critically interpret its output.
• To give you an opportunity to produce a research paper that is comparable with a journal article.

Students learn how to apply sophisticated quantitative methods and procedures to produce a research paper. Lectures build on the skills and knowledge obtained in the semester 1 econometrics module, by expanding in more detail on econometric theory that is particularly useful in finance and international economics. The main focus is on the application of quantitative methods to real world data using econometric software and on the preparation of an independent research paper that is comparable with a journal article. Seminars provide practical experience in obtaining and analysing data using software. This module enables students to develop skills that are necessary for writing a dissertation of good quality.

Outline Of Syllabus

1. Obtaining data from different sources: recognising the importance of descriptive statistics; commenting on the moments of the data.
2. ARMA Modelling and Forecasting: the analysis of financial data, identification of the key characteristics for identification, estimation of the data generating process of financial variables, execution of diagnostic tests, forecasting and forecast evaluation.
3. Unit roots: Dealing with persistence of economic and/or financial data, determining whether shocks to data are transitory or permanent, the problems of spurious regressions in finance.
4. Cointegration: Single equation cointegration, long run economic or financial relationships between variables, the error correction model, analysing and interpreting the short run and long run analysis of financial and economic variables.
5. Conditional Heteroskedasticity: ARCH/GARCH models of financial series.
6. Correct interpretation of the output of econometric software and inferences from the output.
7. The synthesis of the results from analysing the data using advanced quantitative methods.
8. Preparation of an independent research paper that is comparable with a journal article.

Teaching Methods

Teaching Activities
Category Activity Number Length Student Hours Comment
Guided Independent StudyAssessment preparation and completion115:0015:00N/A
Scheduled Learning And Teaching ActivitiesLecture52:0010:00In person
Guided Independent StudyDirected research and reading125:0025:00N/A
Scheduled Learning And Teaching ActivitiesSmall group teaching31:003:00In person
Scheduled Learning And Teaching ActivitiesWorkshops31:003:00Software demonstration. In person. Whole cohort.
Guided Independent StudyStudent-led group activity120:0020:00N/A
Guided Independent StudyIndependent study124:0024:00N/A
Teaching Rationale And Relationship

Seminars will be practical, involving the use of econometric software, following the demonstration in workshops.

Assessment Methods

The format of resits will be determined by the Board of Examiners

Description Length Semester When Set Percentage Comment
Written Examination602A50Alternative: 24hr take home exam.
Other Assessment
Description Semester When Set Percentage Comment
Report2M50Group-based 4000 word report
Formative Assessments

Formative Assessment is an assessment which develops your skills in being assessed, allows for you to receive feedback, and prepares you for being assessed. However, it does not count to your final mark.

Description Semester When Set Comment
Prob solv exercises2MProblem-solving exercises, in the format of an online quiz
Prob solv exercises2MProblem-solving exercises with feedback via Discussion Board
Assessment Rationale And Relationship

The examination is an appropriate way to assess both theoretical understanding and problem solving skills under time-constraint as required in industry. The assignment encourages students to compare, contrast, criticise and differentiate the methods used in quantitative analysis. It also encourages students to learn how to work as a part of a team, and to develop practical skills needed for writing a dissertation of good quality.

Reading Lists