NBS8257 : Applied Econometrics
NBS8257 : Applied Econometrics
- Offered for Year: 2024/25
- Module Leader(s): Dr Ian Corrick
- Owning School: Newcastle University Business School
- Teaching Location: Newcastle City Campus
Semesters
Your programme is made up of credits, the total differs on programme to programme.
| Semester 2 Credit Value: | 10 |
| ECTS Credits: | 5.0 |
| European Credit Transfer System | |
Pre-requisite
Modules you must have done previously to study this module
Pre Requisite Comment
N/A
Co-Requisite
Modules you need to take at the same time
Co Requisite Comment
N/A
Aims
• To equip you with skills and knowledge in quantitative methods applied to real world data.
• To teach you how to use econometric software to analyse data and how to critically interpret its output.
• To give you an opportunity to produce a research paper that is comparable with a journal article.
Students learn how to apply sophisticated quantitative methods and procedures to produce a research paper. Lectures build on the skills and knowledge obtained in the semester 1 econometrics module, by expanding in more detail on econometric theory that is particularly useful in finance and international economics. The main focus is on the application of quantitative methods to real world data using econometric software and on the preparation of an independent research paper that is comparable with a journal article. Seminars provide practical experience in obtaining and analysing data using software. This module enables students to develop skills that are necessary for writing a dissertation of good quality.
Outline Of Syllabus
1. Obtaining data from different sources: recognising the importance of descriptive statistics; commenting on the moments of the data.
2. ARMA Modelling and Forecasting: the analysis of financial data, identification of the key characteristics for identification, estimation of the data generating process of financial variables, execution of diagnostic tests, forecasting and forecast evaluation.
3. Unit roots: Dealing with persistence of economic and/or financial data, determining whether shocks to data are transitory or permanent, the problems of spurious regressions in finance.
4. Cointegration: Single equation cointegration, long run economic or financial relationships between variables, the error correction model, analysing and interpreting the short run and long run analysis of financial and economic variables.
5. Conditional Heteroskedasticity: ARCH/GARCH models of financial series.
6. Correct interpretation of the output of econometric software and inferences from the output.
7. The synthesis of the results from analysing the data using advanced quantitative methods.
8. Preparation of an independent research paper that is comparable with a journal article.
Learning Outcomes
Intended Knowledge Outcomes
At the end of this module:
• You will be able to find relevant economic or financial data and choose and justify econometric methods that are appropriate for their analysis.
• You will be able to explain different econometric methods relevant for the analysis of time series data and interpret the results from their application using econometric software.
Intended Skill Outcomes
At the end of this module:
• You will be able to correctly execute learnt econometric methods in appropriate econometric software.
• You will be able to present the results of your quantitative analysis in a professionally accepted format and evaluate your conclusions in relation to the literature.
Teaching Methods
Teaching Activities
| Category | Activity | Number | Length | Student Hours | Comment |
|---|---|---|---|---|---|
| Scheduled Learning And Teaching Activities | Lecture | 5 | 2:00 | 10:00 | In person |
| Guided Independent Study | Assessment preparation and completion | 1 | 15:00 | 15:00 | N/A |
| Guided Independent Study | Directed research and reading | 1 | 25:00 | 25:00 | N/A |
| Scheduled Learning And Teaching Activities | Small group teaching | 3 | 1:00 | 3:00 | In person |
| Scheduled Learning And Teaching Activities | Workshops | 3 | 1:00 | 3:00 | Software demonstration. In person. Whole cohort. |
| Guided Independent Study | Student-led group activity | 1 | 20:00 | 20:00 | N/A |
| Guided Independent Study | Independent study | 1 | 24:00 | 24:00 | N/A |
| Total | 100:00 |
Teaching Rationale And Relationship
Seminars will be practical, involving the use of econometric software, following the demonstration in workshops.
Reading Lists
Assessment Methods
The format of resits will be determined by the Board of Examiners
Exams
| Description | Length | Semester | When Set | Percentage | Comment |
|---|---|---|---|---|---|
| Written Examination | 60 | 2 | A | 50 | Alternative: 24hr take home exam. |
Other Assessment
| Description | Semester | When Set | Percentage | Comment |
|---|---|---|---|---|
| Report | 2 | M | 50 | Group-based 4000 word report |
Formative Assessments
Formative Assessment is an assessment which develops your skills in being assessed, allows for you to receive feedback, and prepares you for being assessed. However, it does not count to your final mark.
| Description | Semester | When Set | Comment |
|---|---|---|---|
| Prob solv exercises | 2 | M | Problem-solving exercises, in the format of an online quiz |
| Prob solv exercises | 2 | M | Problem-solving exercises with feedback via Discussion Board |
Assessment Rationale And Relationship
The examination is an appropriate way to assess both theoretical understanding and problem solving skills under time-constraint as required in industry. The assignment encourages students to compare, contrast, criticise and differentiate the methods used in quantitative analysis. It also encourages students to learn how to work as a part of a team, and to develop practical skills needed for writing a dissertation of good quality.
Timetable
- Timetable Website: www.ncl.ac.uk/timetable/
- NBS8257's Timetable
Past Exam Papers
- Exam Papers Online : www.ncl.ac.uk/exam.papers/
- NBS8257's past Exam Papers
General Notes
N/A
Welcome to Newcastle University Module Catalogue
This is where you will be able to find all key information about modules on your programme of study. It will help you make an informed decision on the options available to you within your programme.
You may have some queries about the modules available to you. Your school office will be able to signpost you to someone who will support you with any queries.
Disclaimer
The information contained within the Module Catalogue relates to the 2024 academic year.
In accordance with University Terms and Conditions, the University makes all reasonable efforts to deliver the modules as described.
Modules may be amended on an annual basis to take account of changing staff expertise, developments in the discipline, the requirements of external bodies and partners, and student feedback. Module information for the 2025/26 entry will be published here in early-April 2025. Queries about information in the Module Catalogue should in the first instance be addressed to your School Office.