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Durham University

Postgraduate Module Handbook 2021/2022

Archive Module Description

This page is for the academic year 2021-22. The current handbook year is 2022-23

Department: Economics and Finance

ECON41615: Econometrics II

Type Tied Level 4 Credits 15 Availability Available in 2021/22
Tied to L1T109 Economics
Tied to L1T209 Public Economics
Tied to L1T309 Experimental Economics
Tied to L1T409 Environmental & Natural Resource Economics
Tied to N3K109 Finance
Tied to N3K709 Finance (Economics and Finance)

Prerequisites

  • None

Corequisites

  • Econometrics I (ECON41515)

Excluded Combination of Modules

  • Financial Modelling and Business Forecasting (ECON42115)

Aims

  • to build upon the knowledge gained in Econometrics I and provide students with the specific advanced technical skills (both theoretical and practical) necessary to understand the methods employed by macro-econometricians and financial econometricians;
  • to provide students with the tools required to model stationary and non-stationary time series data and obtain forecasts from econometric models.

Content

  • Time series data, stationarity, ARMA models, Box-Jenkins methodology
  • Forecasting
  • Models for non-stationary data, Unit root tests
  • Cointegration: Single-equation methods, Engle-Granger methodology, Error correction model (ECM)
  • Dynamic regression models, Distributed lag models and Autoregressive distributed lag models
  • VAR models, Impulse Response Analysis
  • Cointegration in a System: VECM, Johansen approach
  • Volatility Models: ARCH, GARCH

Learning Outcomes

Subject-specific Knowledge:
  • have an advanced knowledge of the principles and methods of modern macroeconometrics and financial econometrics;
  • have extended and deepened their understanding of econometrics gained in Econometrics I, and improved their critical judgement and discrimination in the choice of techniques applicable to complex situations;
  • have extended their understanding of the application of econometric methods and interpretation of the results at an advanced level;
  • have extended their understanding of the use of econometric tools to conduct advanced empirical investigations into complex specialised issues.
Subject-specific Skills:
  • have further practised problem solving skills in econometrics at an advanced level and the use of econometric software.
Key Skills:
  • Written Communication;
  • Planning, Organising and Time Management;
  • Problem Solving and Analysis;
  • Using Initiative;
  • Numeracy;
  • Computer Literacy.

Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module

  • A combination of lectures, seminars, computer classes and guided reading will contribute to achieving the aims and learning outcomes of this module. The summative assignment and examination will test students' knowledge and critical understanding of the material covered in the module, their analytical and problem-solving skills.

Teaching Methods and Learning Hours

Activity Number Frequency Duration Total/Hours
Lectures 10 1 per week 2 hours 20
Seminars 4 1 hour 4
Computer classes 4 1 hour 4
Preparation & Reading 120
Total 150
Revision Lecture 1 2 hours 2

Summative Assessment

Component: Project Component Weighting: 50%
Element Length / duration Element Weighting Resit Opportunity
Written Project 1250 word maximum 100% Same
Component: Examination Component Weighting: 50%
Element Length / duration Element Weighting Resit Opportunity
Examination 2 hours 100% Same

Formative Assessment:

Work prepared by students for seminars; answers to questions either discussed during a seminar, or posted on DUO; feedback on discussions with teaching staff during consultation hours, or via e-mail.


Attendance at all activities marked with this symbol will be monitored. Students who fail to attend these activities, or to complete the summative or formative assessment specified above, will be subject to the procedures defined in the University's General Regulation V, and may be required to leave the University