This course builds on introductory econometric and quantitative techniques. It is designed to provide Honours students with an understanding of a range of advanced econometric methods and techniques used to analyse data sets which is essential in designing and writing a research thesis in applied economics.
The properties of linear regression models under classical assumptions are examined and the implications of violations of these assumptions and diagnostic tests to detect violations are outlined. Econometric remedies for these violations are also derived. The estimation of time-series models including cointegration and error-correction models, nonlinear time-series models, simultaneous equations models, volatility models, VAR/SVAR models, and panel data modelling is canvassed.
An assessment is made about the strengths and weaknesses of particular econometric techniques and methodologies which is important when applied research is being conducted.
Not currently offered.
This Course was last offered in Semester 1 - 2015.
On successful completion of the course students will be able to:
1. Demonstrate a deep understanding of a range of econometric modelling techniques;
2. Demonstrate skills in hands-on modelling, estimation and diagnostic testing, utilising economic, finance and business data;
3. Critically analyse and evaluate the results of earlier studies that have been undertaken using econometric techniques;
4. Engage in collaborative processes (formal or informal group work) when engaging in econometric modelling, employing statistical techniques, analysing data and communicating results.
- Basic regression concepts
- Properties of estimators
- Violations of classical assumptions
- Estimation and hypothesis testing
- Simple linear and multiple regression modelling
- Simultaneous equations models
- Instrumental variable models
- Limited dependent variable models
- Time series analysis, including cointegration-and error-correction models and nonlinear time-series models
- Volatility modelling
- VAR/SVAR Modelling
- Panel data analysis
This course is only available to students enrolled in the Bachelor of Commerce (Honours) program.
Bachelor's degree or equivalent in economics.
In Term Test: In class tests
Project: Research Project
In Term Test: Mid Semester Test
Formal Examination: Final Exam