MODELLING WITH ECONOMETRICS: CHALLENGES AND SOLUTIONS
ECM3MEC
2015
Credit points: 15
Subject outline
This subject builds on the multiple regression method 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 random regressors 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.
School: La Trobe Business School
Credit points: 15
Subject Co-ordinator: Darren Henry
Available to Study Abroad Students: Yes
Subject year level: Year Level 3 - UG
Exchange Students: Yes
Subject particulars
Subject rules
Prerequisites: ECM2IE or ECO2EME
Co-requisites: N/A
Incompatible subjects: N/A
Equivalent subjects: N/A
Special conditions: N/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:
- TBC
- Related graduate capabilities and elements:
- Inquiry/ Research(Inquiry/ Research)
- Information Literacy(Information Literacy)
- Creative Problem-solving(Creative Problem-solving)
- Critical Thinking(Critical Thinking)
02. Explain the maximum likelihood estimation method in the context of multiple regression and its application to model diagnostic testing
- Activities:
- TBC
- Related graduate capabilities and elements:
- Critical Thinking(Critical Thinking)
- Creative Problem-solving(Creative Problem-solving)
- Inquiry/ Research(Inquiry/ Research)
- Information Literacy(Information Literacy)
03. Explain the method-of-moment estimation method and apply it to economic and financial data (such as in instrumental variable estimation and simultaneous equation models)
- Activities:
- TBC
- Related graduate capabilities and elements:
- Critical Thinking(Critical Thinking)
- Creative Problem-solving(Creative Problem-solving)
- Inquiry/ Research(Inquiry/ Research)
- Information Literacy(Information Literacy)
04. Design and conduct Monte Carlo simulation, estimate panel data model and interpret the estimation results
- Activities:
- TBC
- Related graduate capabilities and elements:
- Critical Thinking(Critical Thinking)
- Information Literacy(Information Literacy)
- Creative Problem-solving(Creative Problem-solving)
- Inquiry/ Research(Inquiry/ Research)
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:
- TBC
- Related graduate capabilities and elements:
- Creative Problem-solving(Creative Problem-solving)
- Information Literacy(Information Literacy)
- Inquiry/ Research(Inquiry/ Research)
- Critical Thinking(Critical Thinking)
Melbourne, 2015, Semester 1, Day
Overview
Online enrolment: Yes
Maximum enrolment size: N/A
Enrolment information:
Subject Instance Co-ordinator: Darren Henry
Class requirements
LectureWeek: 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.
TutorialWeek: 10 - 22
One 1.0 hours tutorial per week on weekdays during the day from week 10 to week 22 and delivered via face-to-face.
Assessments
| Assessment element | Comments | % | ILO* |
|---|---|---|---|
| Three 1,000-word assignments | 50 | 01, 02, 03, 04, 05 | |
| one 2-hour final examination | 50 | 01, 02, 03, 04, 05 |