ECON60622
Further Econometrics
15
Semester 2
Postgraduate Taught
Level 6
Chenyang Wang
Unit coordinator
Economics
1
FHEQ level (Framework for Higher Education Qualifications) ' Masters/Integrated Masters P4 '
European Credit Transfer & Accumulation System Rating : 7.5
<table border="0" cellpadding="0" cellspacing="0" cols="6" id="ACE_UM_CRSE_DERIVED_UM_GROUPBOX7$0" role="presentation" width="791"> <tbody> <tr> <td align="left" valign="top"> <table> <tbody> <tr> <td align="left"><p>The aims of this course are threefold.</p> <ol> <li>to introduce students to basic modeling techniques in the analysis of cross-section, panel and time series economic data;</li> <li>to provide students with sufficient econometric training to read the applied literature in core journals which use these standard techniques;</li> <li>to prepare students for a dissertation topic that analyses either cross-section, panel or time series data using basic econometric techniques</li> </ol> </td> </tr> </tbody> </table> </td> </tr> </tbody></table>
<table border="0" cellpadding="0" cellspacing="0" cols="6" id="ACE_UM_CRSE_DERIVED_UM_GROUPBOX7$0" role="presentation" width="791"> <tbody> <tr> <td align="left" valign="top"> <table> <tbody> <tr> <td align="left"><p>The aims of this course are threefold.</p> <ol> <li>to introduce students to basic modeling techniques in the analysis of cross-section, panel and time series economic data;</li> <li>to provide students with sufficient econometric training to read the applied literature in core journals which use these standard techniques;</li> <li>to prepare students for a dissertation topic that analyses either cross-section, panel or time series data using basic econometric techniques</li> </ol> </td> </tr> </tbody> </table> </td> </tr> </tbody></table>
<p>The aims of this course are threefold.</p>
<ol style="list-style-type: upper-roman">
<li>
to introduce students to basic modeling techniques in the analysis of cross-section, panel and time series economic data;</li>
<li>
to provide students with sufficient econometric training to read the applied literature in core journals which use these standard techniques;</li>
<li>
to prepare students for a dissertation topic that analyses either cross-section, panel or time series data using basic econometric techniques.</li>
</ol>
<p>At the end of the course, students should be able to perform the following tasks.</p><p>With cross-section and panel data:</p><ol> <li> Interpret the results from regression models involving panel data and instrumental variables;</li> <li> understand how to use instrumental variables to account for endogenous regressors;</li> <li> understand how to estimate binary response models</li> <li> understand how to correct for sample selection using Heckman’s two-step procedure;</li> <li> understand how use repeated cross-section samples to perform a Difference in Difference analysis</li> <li> understand how to set up and analyse panel data regression models;</li> <li> estimate basic panel data, instrumental variables binary response and sample selection models;</li> <li> use the computer package Stata.</li></ol><p>With time series data:</p><ol> <li> understand the basic concepts of stationary and non-stationary time series;</li> <li> understand and apply basic linear models for univariate and multivariate time series;</li> <li> understand the concepts of integration and cointegration and how to test for these phenomena in time series;</li> <li> use the computer package R to analyse time series data.</li></ol><p> </p><p><br /> </p>
<p>Provisional</p><p>(Relevant textbook chapters in parentheses; W = Wooldridge; B=Brooks)</p><p>Cross-section & panel data</p><ul><li>Instrumental Variables Estimation and Two-Stage Least Squares (W 15)</li><li>Binary response models (W 17.1)</li><li>Sample Selection and Heckman’s Two-Step Procedure (W 9.5, 17.5)</li><li>Repeated cross-section data, and Difference in Difference analysis (W 13.1-13.2)</li><li>Panel Data Methods (W 13.3-13.5,14.1)</li></ul><p>Time series data</p><ul><li>Stationary Time Series – AR(MA) Modelling (B 6)</li><li>Multivariate Modelling – VARs (B 7)</li><li>Regression with time series data (W 11, B5)</li><li>Non-Stationary Time Series – Unit Root Testing and Cointegration (B 8)</li></ul><p> </p><p> </p><p> </p>
<P>Lectures and tutorials</P>
0
Other
15%
1
Written exam
85%
<p>85% final exam</p><p>15% mid term test</p>
ECON60611
Introduction to Econometrics
Pre-Requisite
Compulsory
ECON60611 is a co-requisite for this unit
Y
<p>The main texts are:</p>
<ul>
<li>
Wooldridge, J. M., (2013), Introductory Econometrics, South-Western Cengage Learning, Fifth Edition. <em>Please note that other editions of the textbook may be used as well. </em></li>
</ul>
<p><em>Important information: a custom edition of this textbook is available at a lower price at Blackwell’s bookstore. It is sold as: </em></p><p>Econometrics, Custom Edition for The University of Manchester, compiled by Andrews, Becker,</p><p>Cortes, Masters, Mazza and Backus. ISBN 978-1-4737-2064-0.</p>
<ul>
<li>
Brooks, C., (2019), Introductory Econometrics for Finance, 4<sup>th</sup> Edition, Cambridge UP</li>
</ul>
<p> An additional source is</p>
<ul>
<li>
Verbeek, M., (2012), A Guide to Modern Econometrics, 4<sup>th</sup> Edition, Wiley</li>
</ul>
Lectures
22
Tutorials
11
0
117
<p><b>Information</b><br />Pre-requisite: ECON60611</p><p> </p><p> </p><p><br /> </p><p> </p>