ECONS528-23A (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)

Yang Hu

Yang Hu
4676
MSB.3.26
See Moodle
yang.hu@waikato.ac.nz

Lecturer(s)

Administrator(s)

: denise.martin@waikato.ac.nz

Placement/WIL Coordinator(s)

Tutor(s)

Student Representative(s)

Lab Technician(s)

Librarian(s)

: yilan.chen@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:
    • For extensions starting with 4: dial +64 7 838 extension.
    • For extensions starting with 5: dial +64 7 858 extension.
    • For extensions starting with 9: dial +64 7 837 extension.
    • For extensions starting with 3: dial +64 7 2620 + the last 3 digits of the extension e.g. 3123 = +64 7 262 0123.
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What this paper is about

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This paper 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, spillover index approach, volatility modelling, basic ARCH(GARCH) models.
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How this paper will be taught

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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.

Note that the Lecture room is MSB.0.27. This will be changed on the outline in due course.

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Required Readings

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Learning Outcomes

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Students who successfully complete the course should be able to:

  • gain a practical experience of applying various econometric procedures and interpreting their corresponding results
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  • gain an understanding of current developments in panel time series analysis
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  • gain an understanding of econometric theories related to time series
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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 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 the ability to critically appraise the relative merits of alternative econometric approaches
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  • Explain the theory and practice of core econometric procedures and interpretation
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  • Undertake panel time series analysis
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  • Use a statistical program (Stata, R or Eviews) to estimate econometric models, test hypotheses, and undertake empirical exercises
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  • Utilise diagnostics tests to interpret econometric results
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  • Critically appraise the relative merits of alternative econometric approaches
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Assessments

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How you will be assessed

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Internal assessments are by the components as listed below. Note there is no examination for this paper.

The assessments of the paper include and three critiques and one test.

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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
17 Mar 2023
5:00 PM
20
  • Online: Submit through Moodle
2. Critique 2
6 Apr 2023
5:00 PM
20
  • Online: Submit through Moodle
3. Test
30 May 2023
1:00 PM
32
  • Online: Submit through Moodle
4. Critique 3
14 Jun 2023
5:00 PM
28
  • 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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