Module Code - Title:
EC6112
-
ECONOMETRICS
Year Last Offered:
2025/6
Hours Per Week:
Grading Type:
Prerequisite Modules:
Rationale and Purpose of the Module:
Econometric theory and practice at a graduate technical level, this module covers a range of techniques widely used in modem applied econometric work, and demonstrates how these techniques are applied to specific areas of economic enquiry. Priority is given to both the statistical reasoning underlying the methodology and the practical considerations involved in using this methodology with a variety of models and real data. By the end of the course, students should be able to read and understand the main lines of argument in a number of contemporary published empirical econometric studies on the topics covered. They will also be in a position to use appropriate computer software to conduct econometric analysis on these and related topics.
Syllabus:
Introduction and Prliner in Matrix Algebra, Dynamic Econometric Models Autoregressive and Distributed-Lag Models, Instrumental Variables. Simultaneous Equations Identification and Estimation. Regression on Dummy Variables; Dummy Dependent Variable Techniques - Binomial and Multinomial Logit and Probit Models, Simulation-Based Estimation. Panel Data Analysis Univariate and Multivariate Time Series Models - Box-Jenkins Methods and Forecasting, ARIMA and Vector Autoregressive (VAR) Models, Granger causality, Impulse response analysis and error variance decomposition (orthogonalised approach), Cointegration and Error Correction Models, ARCH] (lARCH. Modelling, The Generalised Method of Moments (GMM) Estimator.
The course makes use of EViews, Microfit, and Stata data analysis and statistical software.
Learning Outcomes:
Cognitive (Knowledge, Understanding, Application, Analysis, Evaluation, Synthesis)
Formulate suitable single- and multi-equation econometric models for the empirical study of economic phenomena.
Estimate and interpret parameters, and test hypotheses, in single- and multi-equation econometric models, using suitable sofiware.
Read and understand the literature on the topics covered.
Affective (Attitudes and Values)
Justify the context in which a problem is to be addressed.
Select and apply appropriate econometric techniques to solve problems.
Report and evaluate existing empirical work in econometrics.
Psychomotor (Physical Skills)
N/A
How the Module will be Taught and what will be the Learning Experiences of the Students:
N/A
Research Findings Incorporated in to the Syllabus (If Relevant):
N/A
Prime Texts:
Asteriou, D. and S. G. Hall (2021)
Applied Econometrics (4th edition)
, Macmillan International
Other Relevant Texts:
Baltagi, B. H. (2021)
Econometric Analysis of Panel Data (6th edition)
, Springer
Brooks, C. (2019)
Introductory Econometrics for Finance (4th edition)
, Cambridge University Press
Enders, W. (2014)
Applied Econometric Time Series (4th edition)
, Wiley
Greene, W. H. (2018)
Econometric Analysis (international 8th edition)
, Pearson
Gujarati, D. and D. Porter (2009)
Basic Econometrics (international 5th edition)
, McGraw-Hill
Wooldridge, J. M. (2025)
Introductory Econometrics: A Modern Approach (8th edition)
, Cengage Learning
Programme(s) in which this Module is Offered:
Semester(s) Module is Offered:
Module Leader:
Declan.Dineen@ul.ie