ecm3mec modelling with econometrics
MODELLING WITH ECONOMETRICS: CHALLENGES AND SOLUTIONS
ECM3MEC
2017
Credit points: 15
Subject outline
This subject builds on the multiple regression methodology and presents some general estimation and testing methods used in modern econometrics for applied economics and finance. The first part covers estimation and testing methods that address issues which arise when working with data that have a more general structure, such as cross-sectional data, discrete choice or outcome data and panel data. The second part of the subject will cover issues that are related to testing and estimation using non-stationary time series data in economics and finance, involving both unit root testing and co-integration. Empirical applications in economics and finance will be carried out using EVIEWS or similar software.
SchoolLa Trobe Business School
Credit points15
Subject Co-ordinatorJae Kim
Available to Study Abroad StudentsYes
Subject year levelYear Level 3 - UG
Exchange StudentsYes
Subject particulars
Subject rules
Prerequisites ECM2IE or ECO2EME
Co-requisitesN/A
Incompatible subjectsN/A
Equivalent subjectsN/A
Special conditionsN/A
Graduate capabilities & intended learning outcomes
01. Conduct the least-squares estimation for a multiple regression model, and interpret the estimation and statistical testing results
- Activities:
- Tutorial Quizzes; Quantitative assignments; Group research assignment; Final Exam
- Related graduate capabilities and elements:
- Literacies and Communication Skills(Writing,Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Discipline -Specific Knowledge and Skills(Discipline-Specific Knowledge and Skills)
02. Explain the maximum likelihood estimation method in the context of multiple regression and its application to model diagnostic testing
- Activities:
- Tutorial Quizzes; Group research assignment; Final Exam
- Related graduate capabilities and elements:
- Literacies and Communication Skills(Writing,Quantitative Literacy)
- Literacies and Communication Skills(Writing,Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Discipline -Specific Knowledge and Skills(Discipline-Specific Knowledge and Skills)
03. Explain the limited dependent variable estimation method and apply it to economic and financial data (such logit, probit, tobit and multinomial equation models)
- Activities:
- Quantitative assignments; Group research assignment; Final Exam
- Related graduate capabilities and elements:
- Literacies and Communication Skills(Writing,Quantitative Literacy)
- Literacies and Communication Skills(Writing,Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Discipline -Specific Knowledge and Skills(Discipline-Specific Knowledge and Skills)
04. Design and conduct Monte Carlo simulation, estimate panel data model and interpret the estimation results
- Activities:
- Quantitative assignments; Group research assignment; Final Exam
- Related graduate capabilities and elements:
- Literacies and Communication Skills(Writing,Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
05. Explain the meaning of a unit-root (or non-stationary) series and its consequences for multiple regression model, and identify its implications for long-run equilibrium relationships among economic and financial data
- Activities:
- Group research assignment; Final Exam
- Related graduate capabilities and elements:
- Literacies and Communication Skills(Writing,Quantitative Literacy)
- Literacies and Communication Skills(Writing,Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Discipline -Specific Knowledge and Skills(Discipline-Specific Knowledge and Skills)
Subject options
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Melbourne, 2017, Semester 1, Day
Overview
Online enrolmentYes
Maximum enrolment sizeN/A
Enrolment information
Subject Instance Co-ordinatorJae Kim
Class requirements
LectureWeek: 10 - 12
One 2.0 hours lecture per week on weekdays during the day from week 10 to week 12 and delivered via face-to-face.
Laboratory ClassWeek: 10 - 22
One 1.0 hours laboratory class per week on weekdays during the day from week 10 to week 22 and delivered via face-to-face.
"Conducted as computer lab classes where students work on applications and assessments relevant to the curriculum."
Assessments
| Assessment element | Comments | % | ILO* |
|---|---|---|---|
| One 2-hour final examination, equivalent to 2,000 words per student. | 50 | 01, 02, 03, 04, 05 | |
| Two tutorial quizzes, equivalent to 250 words each per student, or 500 words in total. | 10 | 01, 02 | |
| Two individual quantitative assignments on empirical estimation, equivalent to 500 words each. | 20 | 01, 03, 04 | |
| One group research-related assignment, equivalent to 1,000 words per student. | Groups of two, so total equivalent word count of 2,000 words for the assignment. | 20 | 01, 02, 03, 04, 05 |