Quantitative methods II
- Course Code:
- Unit value:
- Taught in:
- Term 2
This module builds on the basic foundations provided by Quantitative Methods I (15PECC008), focusing principally on time series econometrics, although simultaneous equation models are also discussed. The lectures consist of an introduction to the econometric methods and the coursework is strongly orientated towards the use of econometric methods in the estimation and testing of economic relationships. Data from developing countries are used where possible. The use of formal arguments is kept to a minimum and students are not normally required to prove theorems.
This module enables students to gain practical experience, and aims to create competence in critically evaluating research results, and carrying out good quality empirical work.
Topics covered include: introduction to time series, autocorrelation, ARCH processes, distributed lag and autoregressive models, model selection criteria, stationarity, stochastic processes, unit root tests, spurious regression, cointegration, error correction models, simultaneous equation models, identification conditions, estimation of simultaneous equation models.
Objectives and learning outcomes of the course
On successful completion of the course, you should be able to:
- explain the nature of economic time series
- demonstrate understanding of disturbance processes and autocorrelation: its causes, consequences, tests of it and how to make progress in its presence
- explain the nature of finite and infinite distributed lag models
- demonstrate understanding of autoregressive models, the partial adjustment and adaptive expectations hypotheses and the Koyck transformation
- explain and use tests of causality and Ramsey's RESET
- use information criteria
- explain stationary and nonstationary time series, including the distinction between stochastic and deterministic nonstationarity
- explain and implement tests of the order of integration of time series
- discuss what is meant by 'spurious regression' and be able to identify it
- demonstrate understanding of cointegration: how to test for it and its relationship with spurious regression
- explain and interpret error-correction models and show their relationship to autoregressive distributed lag models
- use error-correction models to model relationships involving cointegrated time series
- demonstrate understanding of the nature of the identification problem and use the rank and order conditions for identification
- explain and use OLS, indirect least squares (ILS) and two-stage least squares (2SLS) in simultaneous systems
- use the course software to implement the econometric methods discussed in the course
- exercise judgement in the face of apparently conflicting evidence when carrying out empirical work
Method of assessment
Assessment weighting: Exam 70% / Coursework 30% (computer based). Coursework not resubmittable.
Submission of Coursework
All students are required to submit all elements of assessment to pass a course, and are required to submit all coursework as a pre-condition of exam entry. The Associate Dean (Learning and Teaching) may, at the request of the Head of Department, withdraw permission to take exams or terminate degree registration if you persistently fail to submit coursework without good cause.
Deadlines for course-work essays are set prior to the commencement of the academic year by the course teacher or (where more than one teacher is involved in a course) the course convenor. The final deadline will not be later than the School's final deadline and will generally be earlier. Students will be informed of these deadlines at the beginning of the course - these can be confirmed on BLE or from the Faculty Office.
Coursework must be submitted manually to your Faculty Office. Please see below for our manual submission procedure.
Manual course work submission
Two copies of every assessed essay must be submitted by students to the Faculty Office before 4.00pm on the due date. Students must see that the date of their essay submission is recorded on their receipt. Students who submit their essays on time are entitled to receive one copy of each essay back with comments and a provisional mark within at most three weeks in term time. One copy will be retained by the Faculty Office (together with a copy of the general comments returned to the student) so that it is available at the time of the examination
When submitting course work students must ensure that the cover sheet has the following information at the top right-hand corner:
- Name of student in full
- ID number
- Name of course
- Code of course
- Assignment number e.g. 1 for first assignment, 2 for second assignment – etc.
- Date of deadline, which is given out at the start of term with the course outlines
Students should aim to submit coursework at least an hour before the deadline. Students must see that the date of their essay submission is recorded on their receipt. Students who submit their essays on time are entitled to receive one copy of each essay back with comments and a provisional mark within at most three weeks in term time.
Guidance on reading will be provided in the lectures. The principal textbook is:
- Gujarati D N and Porter D C (2009) Basic Econometrics, 5th edition, McGraw-Hill, International Edition ISBN 978-007-127625-2.
- Asteriou D and S G Hall (2011) Applied Econometrics, 2nd edition, Palgrave Macmillan, ISBN 978-0-230-27182-1/.
- Harris R I D and R Sollis (2003) Applied Time Series Modelling and Forecasting, John Wiley and Sons.