NBS8257 : Applied Econometrics
- Offered for Year: 2019/20
- Module Leader(s): Dr Grega Smrkolj
- Demonstrator: Dr Xueqi Dong
- Owning School: Newcastle University Business School
- Teaching Location: Newcastle City Campus
Semester 2 Credit Value:
• 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.
|Guided Independent Study||Assessment preparation and completion||1||20:00||20:00||N/A|
|Scheduled Learning And Teaching Activities||Lecture||8||2:00||16:00||N/A|
|Scheduled Learning And Teaching Activities||Practical||4||1:00||4:00||N/A|
|Guided Independent Study||Directed research and reading||1||25:00||25:00||N/A|
|Guided Independent Study||Student-led group activity||1||10:00||10:00||N/A|
|Guided Independent Study||Independent study||1||25:00||25:00||N/A|
Teaching Rationale And Relationship
Seminars will be practically based, involving the use of econometric software.
The format of resits will be determined by the Board of Examiners
|LBS8257||Applied Econometrics||2||London equivalent module|
|Report||2||M||50||Working in groups, students produce 1 report (around 4000 words max) involving the use of the econometric techniques developed|
|Prob solv exercises||2||M||OMBEA quiz in lectures|
|Prob solv exercises||2||M||Individual 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.