ECONS528-21A (HAM)

Econometric Topics: Macroeconomics and Finance

15 Points

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Division of Management
School of Accounting, Finance and Economics

Staff

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Convenor(s)

Lecturer(s)

Administrator(s)

: denise.martin@waikato.ac.nz

Placement/WIL Coordinator(s)

Tutor(s)

Student Representative(s)

Lab Technician(s)

Librarian(s)

: clive.wilkinson@waikato.ac.nz

You can contact staff by:

  • Calling +64 7 838 4466 select option 1, then enter the extension.
  • Extensions starting with 4, 5, 9 or 3 can also be direct dialled:
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Paper Description

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This module provides students with theoretical and practical skills in econometrics that should enable them to carry out a wide range of applied analyses involving finance and economics. The focus of this paper is on the use of time-series data. The topics covered include unit root and co-integration testing, ARIMA modelling, principal components analysis, nonlinearities and panel time-series econometrics.
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Paper Structure

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The course is taught as a combination of workshops and computer labs. Course materials relating to the computer software and lecture-type notes will be available via Moodle.
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Learning Outcomes

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Students who successfully complete the paper should be able to:

  • gain an understanding of econometric theories related to time series
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  • gain an understanding of how these theories may be put to use for empirical investigation that requires a time series analysis
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  • gain an understanding of how the basic results may be interpreted and various diagnostics tests should be carried out
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  • gain a practical experience of applying various econometric procedures and interpreting their corresponding results
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  • gain the ability to critically appraise the relative merits of alternative econometric approaches
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  • gain an understanding of current developments in panel time series analysis
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Assessment

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Assignments will be submitted online.
Oral presentation will be made during the class time and a report submitted online.
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Assessment Components

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The internal assessment/exam ratio (as stated in the University Calendar) is 100:0. There is no final exam. The final exam makes up 0% of the overall mark.

The internal assessment/exam ratio (as stated in the University Calendar) is 100:0 or 0:0, whichever is more favourable for the student. The final exam makes up either 0% or 0% of the overall mark.

Component DescriptionDue Date TimePercentage of overall markSubmission MethodCompulsory
1. Critique 1
9 Apr 2021
5:00 PM
20
  • Online: Submit through Moodle
2. Assignment
7 May 2021
5:00 PM
25
  • Online: Submit through Moodle
3. Critique 2
28 May 2021
5:00 PM
20
  • Online: Submit through Moodle
4. Oral presentation
1 Jun 2021
11:00 AM
15
  • Presentation: In Class
5. Report
11 Jun 2021
5:00 PM
20
  • Online: Submit through Moodle
Assessment Total:     100    
Failing to complete a compulsory assessment component of a paper will result in an IC grade
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Required and Recommended Readings

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Required Readings

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Online Support

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Via Moodle
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Workload

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You should expect to spend around 150 hours in total during the semester.
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Linkages to Other Papers

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Prerequisite(s)

Prerequisite papers: One of ECONS303, ECON304, ECON404, ECON543, ECONS543 or equivalent, or 45 points Level 3 and above in Finance.

Corequisite(s)

Equivalent(s)

Restriction(s)

Restricted papers: ECON504 and ECON528

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