NBS8257 : Applied Econometrics

Semester 2 Credit Value: 10
ECTS Credits: 5.0


• 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 a computer. 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. Correct interpretation of the output of econometric software and inferences from the output.
6. The synthesis of the results from analysing the data using advanced quantitative methods.
7. 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 completion120:0020:00N/A
Scheduled Learning And Teaching ActivitiesLecture82:0016:00N/A
Scheduled Learning And Teaching ActivitiesPractical41:004:00N/A
Guided Independent StudyDirected research and reading125:0025:00N/A
Guided Independent StudyStudent-led group activity110:0010:00N/A
Guided Independent StudyIndependent study125:0025:00N/A
Teaching Rationale And Relationship

Seminars will be practically based, involving the use of econometric software.

Assessment Methods

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

Description Length Semester When Set Percentage Comment
Written Examination902A50N/A
Exam Pairings
Module Code Module Title Semester Comment
LBS8257Applied Econometrics2London equivalent module
Other Assessment
Description Semester When Set Percentage Comment
Report2M50Working in groups, students produce 1 report (around 4000 words max) involving the use of the econometric techniques developed
Formative Assessments
Description Semester When Set Comment
Prob solv exercises2MOMBEA quiz in lectures
Prob solv exercises2MIndividual feedback on questions posted in the Discussion Board on Blackboard;
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