NBS8331 : Introductory Econometrics
- Offered for Year: 2020/21
- Module Leader(s): Dr Pascal Stiefenhofer
- Owning School: Newcastle University Business School
- Teaching Location: Newcastle City Campus
Semesters
Semester 1 Credit Value: | 10 |
ECTS Credits: | 5.0 |
Aims
The module seeks to:
- explain how econometrics have been used and can be used to test theories in economics and finance literature
- provide a comprehensive set of fundamental technical skills necessary to pursue empirical research in economics and finance
- offer the opportunity to develop some key quantitative skills that are highly valued in the private sector
The module covers essential material from probability theory, data description, hypothesis testing, and regression analysis with a particular focus on the analysis of cross-sectional data.
Outline Of Syllabus
1. Simple Regression Model: population versus sample regression function, the method of Ordinary Least Squares (OLS), assumptions of the classical linear regression model, obtaining and interpreting the OLS estimates, statistical properties of estimators, measures of fit
2. Classical Normal Linear Regression Model: hypothesis testing and confidence interval estimation.
3. Extensions of the linear regression model: regression through the origin, units of measurement, standardization, logarithmic and semi-logarithmic models.
4. Multiple Regression Model: restricted least squares, tests for multiple linear restrictions.
5. Dummy Variable Regression Models: describing qualitative information, qualitative regressors, analysis of variance (ANOVA) models, regression with a mixture of quantitative and qualitative regressors (ANCOVA models).
6. Relaxing the assumptions of the classical model – multicollinearity, non-normality, heteroskedasticity, and serial correlation: consequences, detection, and robust inferences in their presence.
Teaching Methods
Please note that module leaders are reviewing the module teaching and assessment methods for Semester 2 modules, in light of the Covid-19 restrictions. There may also be a few further changes to Semester 1 modules. Final information will be available by the end of August 2020 in for Semester 1 modules and the end of October 2020 for Semester 2 modules.
Teaching Activities
Category | Activity | Number | Length | Student Hours | Comment |
---|---|---|---|---|---|
Structured Guided Learning | Lecture materials | 9 | 2:00 | 18:00 | Lecture materials |
Guided Independent Study | Assessment preparation and completion | 1 | 14:00 | 14:00 | N/A |
Structured Guided Learning | Academic skills activities | 6 | 1:30 | 9:00 | Homework problem sets |
Guided Independent Study | Directed research and reading | 1 | 24:00 | 24:00 | Readings from the books |
Scheduled Learning And Teaching Activities | Small group teaching | 5 | 1:00 | 5:00 | Synchronous Online Timetabled: Small group teaching (seminars) |
Structured Guided Learning | Structured non-synchronous discussion | 8 | 0:45 | 6:00 | Q/A moderated discussion board on Canvas |
Scheduled Learning And Teaching Activities | Drop-in/surgery | 1 | 3:00 | 3:00 | Q&A session discussion board |
Guided Independent Study | Independent study | 1 | 21:00 | 21:00 | N/A |
Total | 100:00 |
Teaching Rationale And Relationship
-Lectures provide the fundamental technical structure of the methods introduced and an overview of the essential empirical economic and financial modelling methods
- Seminars provide an opportunity to enhance both theoretical and practical (computer-based) aspects of modelling
Assessment Methods
Please note that module leaders are reviewing the module teaching and assessment methods for Semester 2 modules, in light of the Covid-19 restrictions. There may also be a few further changes to Semester 1 modules. Final information will be available by the end of August 2020 in for Semester 1 modules and the end of October 2020 for Semester 2 modules.
The format of resits will be determined by the Board of Examiners
Exams
Description | Length | Semester | When Set | Percentage | Comment |
---|---|---|---|---|---|
PC Examination | 90 | 1 | A | 100 | in-class test: online quiz on Canvas in Teaching Week 9 |
Exam Pairings
Module Code | Module Title | Semester | Comment |
---|---|---|---|
LBS8331 | Introductory Econometrics | 1 | London equivalent module |
Formative Assessments
Description | Semester | When Set | Comment |
---|---|---|---|
Prob solv exercises | 1 | M | Group feedback on problem-based exercises in seminars and PC labs |
Prob solv exercises | 1 | M | Seminar questions provided |
Prob solv exercises | 1 | M | Weekly homework problem sets |
Assessment Rationale And Relationship
The PC examination is an appropriate way to assess the theoretical understanding and problem solving skills under the time constraint as required in industry.
Reading Lists
Timetable
- Timetable Website: www.ncl.ac.uk/timetable/
- NBS8331's Timetable