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Programme & Unit Catalogues

## ES50051: Applied econometrics

Credits: 6
Level: Masters UG & PG (FHEQ level 7)
Period: Semester 2
Assessment: CW 50%, EX 50%
Supplementary Assessment: ES50051B Re-sit exam (where allowed by programme regulations)
Requisites: Before taking this unit you must take ES50060
Description: Aims:
The aim of this unit is to provide students with the knowledge necessary to analyse macro/time series data. Both univariate and multivariate models are considered with and without the stationary assumption.

Learning Outcomes:
The learning outcomes of the unit are for students to (1) develop a comprehensive set of tools and techniques for analysing various forms of univariate and multivariate time series and for understanding the current literature in applied time series econometrics; (2) survey the current research topics in time series econometrics and be critically aware of how the theoretical results are used and applied in practice; (3) be able to undertake their own (time series) econometric exercises.

Skills:
Ability to develop rigorous arguments through precise use of concepts and mathematical models (Taught/Facilitated/Assessed). Ability to select, analyse and present numerical data using econometric packages (T/F/A). Ability to select, summarise and synthesis written information from multiple sources (T/F/A). Ability to select and use appropriate ideas to produce a coherent response to a pre-set question (T/F/A). Comprehensive and scholarly written communication (T/F/A). Concise and effective written communication (e.g. briefings / written exams) (T/F/A). Effective oral communication (e.g. lecture question and answer) (F). Ability to formulate a research question, then develop and present an original & coherent answer (T/F/A). Ability to produce work to agreed specifications and deadlines (T/F/A).

Content:
The unit begins with stationary univariate models by explaining the theory of difference equations, demonstrating that they are the foundation of all time-series models. The stationary univariate analysis emphasises on the ARMA models and Box-Jenkins methodology. The unit focuses on univariate and multivariate models with and without the stationary assumption. Many recent developments in time series analysis including ARIMA models, unit root tests, cointegration/error-correction models, vector autoregressions and TAR, M-TAR models are considered. There will be numerous examples to illustrate the various techniques, many of which concern models of macroeconomics, finance, international trade and agricultural economics.
Programme availability:

#### ES50051 is Compulsory on the following programmes:

Department of Economics

#### ES50051 is Optional (DEU) on the following programmes:

Department of Social & Policy Sciences
• THXX-AFM46 : MRes Global Political Economy: Transformations & Policy Analysis (Full-time)
• THXX-AFM47 : MRes Global Political Economy: Transformations & Policy Analysis (Full-time)

#### ES50051 is Optional on the following programmes:

Department of Economics

NB. Programmes and units are subject to change at any time, in accordance with normal University procedures.