MODELLING WITH ECONOMETRICS: CHALLENGES AND SOLUTIONS

ECM3MEC

2018

Credit points: 15

Subject outline

This subject builds on the multiple regression methodology and presents some general estimation and testing methods used in modern econometrics for applied economics and finance. The first part covers estimation and testing methods that address issues which arise when working with data that have a more general structure, such as cross-sectional data, discrete choice or outcome data and panel data. The second part of the subject will cover issues that are related to testing and estimation using non-stationary time series data in economics and finance, involving both unit root testing and co-integration. Empirical applications in economics and finance will be carried out using EVIEWS or similar software.

SchoolLa Trobe Business School

Credit points15

Subject Co-ordinatorJae Kim

Available to Study Abroad StudentsYes

Subject year levelYear Level 3 - UG

Exchange StudentsYes

Subject particulars

Subject rules

Prerequisites ECM2IE or ECO2EME

Co-requisitesN/A

Incompatible subjectsN/A

Equivalent subjectsN/A

Special conditionsN/A

Graduate capabilities & intended learning outcomes

01. Conduct the least-squares estimation for a multiple regression model, and interpret the estimation and statistical testing results

Activities:
Tutorial Quizzes; Quantitative assignments; Group research assignment; Final Exam
Related graduate capabilities and elements:
Literacies and Communication Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Discipline -Specific Knowledge and Skills

02. Explain the maximum likelihood estimation method in the context of multiple regression and its application to model diagnostic testing

Activities:
Tutorial Quizzes; Group research assignment; Final Exam
Related graduate capabilities and elements:
Literacies and Communication Skills
Literacies and Communication Skills
Inquiry and Analytical Skills
Discipline -Specific Knowledge and Skills

03. Explain the limited dependent variable estimation method and apply it to economic and financial data (such logit, probit, tobit and multinomial equation models)

Activities:
Quantitative assignments; Group research assignment; Final Exam
Related graduate capabilities and elements:
Literacies and Communication Skills
Literacies and Communication Skills
Inquiry and Analytical Skills
Discipline -Specific Knowledge and Skills

04. Design and conduct Monte Carlo simulation, estimate panel data model and interpret the estimation results

Activities:
Quantitative assignments; Group research assignment; Final Exam
Related graduate capabilities and elements:
Literacies and Communication Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills

05. Explain the meaning of a unit-root (or non-stationary) series and its consequences for multiple regression model, and identify its implications for long-run equilibrium relationships among economic and financial data

Activities:
Group research assignment; Final Exam
Related graduate capabilities and elements:
Literacies and Communication Skills
Literacies and Communication Skills
Inquiry and Analytical Skills
Inquiry and Analytical Skills
Discipline -Specific Knowledge and Skills

Subject options

Select to view your study options…

Start date between: and    Key dates

Melbourne, 2018, Semester 1, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment information

Subject Instance Co-ordinatorJae Kim

Class requirements

Lecture Week: 10 - 12
One 2.0 hours lecture per week on weekdays during the day from week 10 to week 12 and delivered via face-to-face.

Laboratory Class Week: 10 - 22
One 1.0 hours laboratory class per week on weekdays during the day from week 10 to week 22 and delivered via face-to-face.
"Conducted as computer lab classes where students work on applications and assessments relevant to the curriculum."

Assessments

Assessment elementComments% ILO*
One 2-hour final examination, equivalent to 2,000 words per student.50 01, 02, 03, 04, 05
Two tutorial quizzes, equivalent to 250 words each per student, or 500 words in total.10 01, 02
Two individual quantitative assignments on empirical estimation, equivalent to 500 words each.20 01, 03, 04
One group research-related assignment, equivalent to 1,000 words per student.Groups of two, so total equivalent word count of 2,000 words for the assignment.20 01, 02, 03, 04, 05