Aims and Fit of Module

Econometrics II is concerned with the testing of economic theory using real world data. This module is complimentary to Econometrics I, expanding the principles of Ordinary Least Squares regression analysis when dealing with panel data and time series data. The module will provide students with practical experience via regular laboratory session.

Learning outcomes

A. expand the framework of multiple regressions to panel data and time series models
B. conduct regression analysis and make inferences using formal language
C. demonstrate a basic understanding of advanced econometrics, including the VAR model, co-integration, and the VECM model
D. apply clustered standard errors and the HAC standard errors
E. formulate, estimate and conduct tests of hypotheses using panel data and time series data
F. conduct forecasts in time series models
G. test for Granger causality in ADL or VAR models
H. test for structural breaks in time series using the Chow test or the QLR test

Method of teaching and learning

We follow the same approach than Econometrics 1. The module will be taught using a combination of lectures, computer lab and directed study. The lectures provide an introduction to the topics covered in the syllabus. This will be built upon by practical experience in laboratory sessions and structured exercises. Learning will be reinforced by appropriate readings from the module text