The University of Southampton
Courses

ECON6009 Topics in Econometrics

Module Overview

The aim of this module is to provide students with econometric techniques that are commonly used for analysing and understanding the behaviour of macroeconomic and financial data. The module will introduce students to various topics drawn from the modern empirical finance literature and to the underlying econometric techniques used to evaluate alternative models of the dynamics of asset prices and returns. Software such as EViews will be used to give practical illustrations for each topic discussed. Successful completion of this module is of particular value if students intend to do an empirical dissertation involving financial or macroeconomic applications as the final component of their MSc programme. Students should be familiar with the properties of the Simple Linear regression model before taking this course.

Aims and Objectives

Module Aims

The aim of this module is to provide students with econometric techniques that are commonly used for analysing and understanding the behaviour of macroeconomic and financial data. The module will introduce students to various topics drawn from the modern empirical finance literature and to the underlying econometric techniques used to evaluate alternative models of the dynamics of asset prices and returns. Software such as EViews will be used to give practical illustrations for each topic discussed. Successful completion of this module is of particular value if students intend to do an empirical dissertation involving financial or macroeconomic applications as the final component of their MSc programme. Students should be familiar with the properties of the Simple Linear regression model before taking this course.

Learning Outcomes

Learning Outcomes

Having successfully completed this module you will be able to:

  • Demonstrate knowledge and understanding of the key features characterising the behaviour of financial asset prices and returns
  • Use appropriate multivariate time series models for macroeconomic and financial market data
  • Use the software Eviews for analysing economic and financial data.
  • Show the ability to understand non-linear time series models.
  • Understand the importance and use of simulation techniques in economics and finance.

Syllabus

The main topics to be covered are: • Multivariate Time Series Models • Vector Autoregressive Models • Cointegration and Error Correction Models • Selected Nonlinear Time Series Models • Simulation Methods in Finance: Monte Carlo and Bootstrapping

Learning and Teaching

TypeHours
Teaching20
Independent Study80
Total study time100

Resources & Reading list

Introductory Econometrics for Finance. 

Applied Econometric Time Series. 

Other. Details of references to additional textbooks, journal articles or working papers will be provided on Blackboard at the beginning of each topic.

Assessment

Assessment Strategy

Coursework (10%), and a two-hour written examination at the end of Semester 2 (90%). Resit assessment – two-hour written examination in the supplementary period (100%)

Summative

MethodPercentage contribution
Coursework 10%
Exam  (2 hours) 90%

Referral

MethodPercentage contribution
Exam  (2 hours) 100%

Repeat Information

Repeat type: Internal & External

Linked modules

Pre-requisites

To study this module, you will need to have studied the following module(s):

CodeModule
ECON6024Econometrics 1
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