Econometric Methods

MSc Programmes
Module Handbook 2015/16
Department of Economics and Finance
Durham University Business School
University of Durham
MODULE TEAM:
Jinrui Pan Lectures, Workshops, and Computer Practicals
Jason Shachat (module leader) - Lectures and Workshops
Simon Tonin Lectures and Workshops
Tahani Coolen- Maturi Workshops and Computer Practicals
Email:

business.econmethods@durham.ac.uk

Teaching format:

10 x 2 hour lectures;
4 x 2 hour workshops; and
4 practical computing sessions.

Summative Assessment:

2 hour examination (75%)

1000 word project (25%)

Formative Assessment:

Exam style questions and answers during workshops

Purpose and Scope:

To provide understanding of the basics of Econometric theory;

To provide students with some of the econometrics skills necessary to pursue empirical
research in finance and economics; and,

To provide a basis for understanding more-advanced techniques to be taught in the

second term of the MSc.
Learning Outcomes
Upon completion of the module, you should:

Have a thorough knowledge of the key econometrics principles and theoretical methods
(including proofs of theorems and derivations of formulae);

Have developed the ability to apply econometric methods and interpret the results;
Be able to use a range of econometric tools to conduct your own empirical investigations
into financial issues; and,

Have practised problem solving skills theoretically and using of econometric software.
In addition, you should also have developed further the following key skills:

Interpersonal Communication Oral Communication

Planning, Organising and Time Management
Problem Solving and Analysis
Using initiative
Numeracy
Computer Literacy

Outline

Review of Matrix Algebra (Lecture Notes, SW Appendix 18.1)

Review of Probability (Lecture Notes, SW: Chapter 2, Appendix 18.2)
Review of Statistics (Lecture Notes, SW: Chapter 3)
Linear Regression with One Regressor (Lecture Notes, SW Chapter 4, 17)
Regression with a Single Regressor: Hypothesis Tests and Confidence Intervals
(Lecture Notes, SW Chapter 5, 17)
Linear Regression with Multiple Regressors (Lecture Notes, SW Chapter 6,18)
Hypothesis Tests and Confidence Intervals in Multiple Regression (Lecture Notes,
SW Chapter 7,18)
Non-Linear modelling: Dummy variables (SW Chapter 8 )
Autocorrelation and Hetroscedasticity (Lecture Notes, SW Chapter 14)
Generalised Least Squares (Lecture Notes, SW Chapter 18)
Instrumental Variables Regression (Lecture Notes, SW Chapter 12)

The intention is to cover all topics. However, the topics covered, and the order in which they
are covered in the lectures, will depend on the speed at which the course progresses.
Main Readings
Lecture notes of the module will be posted on DUO where appropriate.
The course will mainly follow:
(SW) Introduction to Econometrics, by Stock and Watson (Pearson International Edition). In
particular Chapters 17 and 18 are extremely useful on the theoretical background of
econometrics (this background is an important part of the course).
Also recommended for a textbook is Econometric methods with applications in business and
economics, by Heij, Christiaan, Paul De Boer, Philip Hans Franses, Teun Kloek, and Herman
K. Van Dijk.. OUP Oxford, 2004.
A useful book for learning the computer package Eviews will be: Using EViews for
Principles of Econometrics by William E. Griffiths, R. Carter Hill, and Guay C. Lim
A useful book for example in Finance will be: (CB) Introductory Econometrics for Finance,

Chris Brooks
The course material is standard and you can follow along with a variety of other textbooks. I
suggest you choose one whose presentation and level serves you best. I have put the
following list of textbooks on the course reading list at the main library.
1.
2.
3.
4.
5.

Introductory Econometrics, A Modern Approach, by Jeffrey Wooldridge

Introduction to Econometrics, by James Stock and Mark Watson
Basic Econometrics, by Gujarati, D., & Porter, D. (2008).. McGraw-Hill/Irwin
Econometrics: A Modern Introduction, by Murray, Michael P.
Mostly Harmless Econometrics: An Empiricist's Companion" (Angrist, Pischke 2008)

Communication:
All email queries will be directed to business.econmethods@durham.ac.uk .

I will open an electronic discussion board on DUO to post your questions regarding the
materials coved or other questions. I strongly suggest that you participate in the discussions.
Even though the discussions are not formally assessed, do not feel shy to answer any
questions posted by your peers, in fact answering them will be counted as evidence of course
participation and your understanding of the materials.
Each module team member will offer weekly consultation hours which you can attend
without appointment. These office hours will be posted on DUO.