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Quantitative Techniques for Economics and Finance III


Module description

This module provides an introduction to the fundamental theoretical concepts and applications of econometrics. It gives you an understanding of the science and art of determining what type of model to build, estimating the parameters of the model, evaluating the model statistically, and applying the model to practical problems in forecasting and policy analysis. You will also learn how to do empirical econometrics using the EViews software package.

Learning objectives

At the end of this module, you will be able to demonstrate that you can:

  • understand the assumptions and uses of the multiple linear regression model
  • derive the OLS estimator and establish its properties
  • understand the basic principles of hypothesis testing and conduct significance tests in linear regression models
  • derive the GLS estimator for models with heteroscedastic or autocorrelated errors and understand its properties
  • explain how to carry out tests for heteroscedasticity, autocorrelation, and parameter non‑constancy
  • explain the basic principles of instrumental‑variables estimation
  • explain the basic principles of maximum-likelihood estimation
  • use standard econometrics packages for regression analysis and interpret their output.