Module Catalogues, Xi'an Jiaotong-Liverpool University   
Module Code: ECO302
Module Title: Advanced Econometrics
Module Level: Level 3
Module Credits: 5.00
Academic Year: 2018/19
Semester: SEM1
Originating Department: International Business School
Pre-requisites: N/A
The aim of this module is to give students an understanding of econometric time-series methodology. The module will build upon the materials of Basic Econometrics. Important extensions include volatility models of financial time-series, and multivariate (multiple equation) models such as vector error correction and related cointegrating error correction models.
Learning outcomes 
A. specify and demonstrate the distributional characteristics of a range of time series models

B. estimate appropriate models of financial and economic time series for the purpose of forecasting and inference

C. apply univariate and multivariate model selection and evaluation methods

D. apply conditional heteroskedasticity, unit roots and cointegration in economic and financial time series analysis

Method of teaching and learning 
The module will be delivered by a combination of lectures and tutorials. Lecturers will be designed to provide essential information and introduce students to the basic tools and concepts of time-series analysis. Tutorials will provide students with the opportunity to further develop their skills through the exploration of various theoretical and practical problems, illustrated via actual data sets and real world problems from economics and finance.
Univariate Time Series Models

Introduction to Time Series Analysis

General ARMA Processes

Stationarity and Unit Roots

Testing for Unit Roots

Estimation of ARMA models

Model Selection

Predicting with ARMA Models

Autoregressive Conditional Heteroskedasticity

Multivariate Time Series Models

Dynamic Models with Stationary Variables

Models with Nonstationary Variables

Vector Autoregressive Models

Cointegration: the Multivariate Case
Delivery Hours  
Lectures Seminars Tutorials Lab/Prcaticals Fieldwork / Placement Other(Private study) Total
Hours/Semester 26     12      112  150 


Sequence Method % of Final Mark
1 Presentation 15.00
2 Group Report 85.00

Module Catalogue generated from SITS CUT-OFF: 5/26/2018 9:59:43 AM