MODELLING WITH ECONOMETRICS: CHALLENGES AND SOLUTIONS

ECM3MEC

2016

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.

SchoolLa Trobe Business School

Credit points15

Subject Co-ordinatorDarren Henry

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:
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)

Subject options

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Start date between: and    Key dates

Melbourne, 2016, Semester 1, Day

Overview

Online enrolmentYes

Maximum enrolment sizeN/A

Enrolment information

Subject Instance Co-ordinatorDarren Henry

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.

Tutorial Week: 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 elementComments% ILO*
Three 1,000-word assignments40 01, 02, 03, 04, 05
one 2-hour final examination50 01, 02, 03, 04, 05
Two tutorial quizzes10 01, 04, 05