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Durham University

Postgraduate Modules 2019/2020

Module Description

Please ensure you check the module availability box for each module outline, as not all modules will run in each academic year. Each module description relates to the year indicated in the module availability box. Please be aware that modules may change from year to year, and may be amended to take account of, for example: changing staff expertise, disciplinary developments, the requirements of external bodies and partners, and student feedback.

Department: Economics and Finance

ECON41515: Econometrics I

Type Tied Level 4 Credits 15 Availability Available in 2019/20
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 N3K209 Finance (Accounting and Finance)
Tied to N3K309 Finance (Corporate and International Finance)
Tied to N3K409 Finance (Finance and Investment)
Tied to N3K509 Finance (International Money, Finance and Investment)
Tied to N3K609 Finance (International Banking and Finance)
Tied to N3K709 Finance (Economics and Finance)
Tied to N3K809 Islamic Finance

Prerequisites

  • One econometrics module or equivalent quantitative module at a level equivalent to a second or third year British Honours Degree standard, covering basic statistics and probability theory including distributions as well as hypothesis testing.

Corequisites

  • None

Excluded Combination of Modules

  • Econometric Methods (ECON47815); Financial Modelling and Business Forecasting (ECON42115)

Aims

  • to provide students with some of the econometrics skills necessary to pursue empirical research in economics and/or finance;
  • to provide a basis for understanding more advanced econometric techniques to be taught in the second term of the MSc.

Content

  • Linear Regression Model using Matrix Algebra, Gauss-Markov, Identification, OLS, finite sample properties of the OLS estimator
  • Hypothesis testing and Confidence intervals
  • Asymptotic properties of the OLS estimator
  • Misspecification and dummy variables
  • GLS, autocorrelation and heteroskedasticity
  • Endogeneity, Simultaneity, Instrumental Variables (IV) estimation
  • Generalized Methods of Moments (GMM)
  • Maximum Likelihood (ML)

Learning Outcomes

Subject-specific Knowledge:
  • By the end of the module students should:
  • have a thorough knowledge of the key econometric concepts, principles and methods.
Subject-specific Skills:
  • By the end of the module students should:
  • have the ability to apply econometric methods and interpret the results at an advanced level;
  • be able to use a range of econometric tools to conduct their own empirical investigations;
  • have problem solving skills and have practised 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 assessment comprises a two-hour examination to test students' knowledge of key econometrics concepts, methods and principles, and their problem-solving skills, plus a short project to test their ability to apply these methods and interpret the results.

Teaching Methods and Contact Hours

Activity Number Frequency Duration Total/Hours
Lectures 10 1 per week 2 hours 20
Seminars 4 2 hours 8
Computer classes 4 2 hours 8
Preparation & Reading 114
Total 150

Summative Assessment

Component: Examination Component Weighting: 75%
Element Length / duration Element Weighting Resit Opportunity
Written Examination 2 hours 100% Same
Component: Project Component Weighting: 25%
Element Length / duration Element Weighting Resit Opportunity
Econometrics project 1000 word (maximum) excluding equations, tables and graphs 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


    If you have a question about Durham's modular degree programmes, please visit our User Guide. If you have a question about modular programmes that is not covered by the User Guide, or a query about the Postgraduate Module Handbook, please contact us using the Comments and Questions form below.