Course syllabus
Economics, Financial Econometrics, Second Cycle, 15 credits
Course code: | NA418A | Credits: | 15 |
---|---|---|---|
Main field of study: | Economics | Progression: | A1N |
Last revised: | 12/09/2019 | ||
Education cycle: | Second cycle | Approved by: | Head of school |
Established: | 15/08/2019 | Reading list approved: | 12/09/2019 |
Valid from: | Spring semester 2020 | Revision: | 1 |
Aims and objectives
General aims for second cycle education
Second-cycle courses and study programmes shall involve the acquisition of specialist knowledge, competence and skills in relation to first-cycle courses and study programmes, and in addition to the requirements for first-cycle courses and study programmes shall
- further develop the ability of students to integrate and make autonomous use of their knowledge
- develop the students' ability to deal with complex phenomena, issues and situations, and
- develop the students' potential for professional activities that demand considerable autonomy, or for research and development work.
(Higher Education Act, Chapter 1, Section 9)
Course objectives
Subcourse 1: Econometrics
Knowledge and understanding
After completion of the course, the student will have
- deeper knowledge of basic concepts in econometrics
- knowledge of regression models using cross-sectional data, panel data.
Competence and skills
After completion of the course, the student will have
- the ability to use the knowledge in applied situations within financial economics supported by statistical software.
Judgement and approach
After completion of the course, the student will have
- the ability to critically review and evaluate econometric models.
Subcourse 2: Time Series Analysis and Forecasting
After completion of the course, the student will have
- knowledge of basic concepts in time series analysis
- knowledge of time series regression
- knowledge of ARIMA modelling of stationary and nonstationary time series
- knowledge of frequently used volatility models
- an understanding of problems arising when analyzing unit root processes
- the abilty to apply the knowledge on real world time series and forecast problems
- the ability to critically review and evaluate time series models and choose the best modelling approach
- an understanding of the use of time series models for forecasting and the limitations of the methods
- the ability to convey relevant aspects of modelling issues and results.
- the ability to use these models to analyze financial time series data.
Main content of the course
Econometrics, 7,5 Credits
- Basic concepts in econometrics: model, non-observable heterogeneity, endogeneity
- Simple and multiple linear regression using cross-sectional data
- Regression models for binary response
- Regression modelling for panel data
- Instrumental variables estimation.
Time Series Analysis and Forecasting, 7,5 Credits
- Basic concepts in time series analysis: stationarity, autocovariance, autocorrelation, partial autocorrelation.
- ARIMA modelling: Autoregressive models, moving average models, duality, model properties, parameter estimates, forecasts.
- Volatility models: ARCH and GARCH modelling, testing strategy for heteroscedastic models, volatility forecasts.
- Integrated processes: Difference stationarity, teting for unit roots, spurious correlation
- Multivariate time series: Time series regression, VAR models, cointegration, forecasting properties
Teaching methods
Teaching is done in the form of computer exercises and lectures.
Students who have been admitted to and registered on a course have the right to receive tuition and/or supervision for the duration of the time period specified for the particular course to which they were accepted (see, the university's admission regulations (in Swedish)). After that, the right to receive tuition and/or supervision expires.
Examination methods
Econometrics
Econometrics, Written Examination, 6 credits (Code: A001)
Individual written examination.
Econometrics, Computer Labs, 1.5 credits (Code: A002)
Time Series Analysis and Forecasting
Time Series Analysis and Forecasting, Written Examination, 6 credits (Code: B001)
Individual written examination.
Time Series Analysis and Forecasting, Computer Labs, 1.5 credits (Code: B002)
For students with a documented disability, the university may approve applications for adapted or other forms of examinations.
For further information, see the university's local examination regulations (in Swedish).
Grades
According to the Higher Education Ordinance, Chapter 6, Section 18, a grade is to be awarded on the completion of a course, unless otherwise prescribed by the university. The university may prescribe which grading system shall apply. The grade is to be determined by a teacher specifically appointed by the university (an examiner).
According to regulations on grading systems for first- and second-cycle education (vice-chancellor's decision 2019-01-15, ORU 2019/00107), one of the following grades is to be used: fail, pass, or pass with distinction. The vice-chancellor or a person appointed by the vice-chancellor may decide on exceptions from this provision for a specific course, if there are special reasons.
Grades used on course are Fail (U), Pass (G) or Pass with Distinction (VG).
Econometrics, Written Examination
Grades used are Fail (U), Pass (G) or Pass with Distinction (VG).
Econometrics, Computer Labs
Grades used are Fail (U) or Pass (G).
Time Series Analysis and Forecasting, Written Examination
Grades used are Fail (U), Pass (G) or Pass with Distinction (VG).
Time Series Analysis and Forecasting, Computer Labs
Grades used are Fail (U) or Pass (G).
For further information, see the university's local examination regulations (in Swedish).
Comments on grades
For the concluding grade Pass on the course, a pass in both the Written Examinations and Computer Labs is required. For the grade Pass with Distinction, Pass with Distinction on the Written examinations and Pass on the Computer Labs is required.
The final grade will be translated into the ECTS grading scale.
Specific entry requirements
Economics at undergraduate level of 75 credits, where an independent work on 15 credits is included or Business Administration at undergraduate level, where an independent work on 15 credits is included and Basic statistics 15 higher education credits, as well as 7.5 credits regression analysis / econometrics / scientific method in economics or statistics. In addition, English B / English is required.
For further information, see the university's admission regulations (in Swedish).
Transfer of credits for previous studies
Students who have previously completed higher education or other activities are, in accordance with the Higher Education Ordinance, entitled to have these credited towards the current programme, providing that the previous studies or activities meet certain criteria.
For further information, see the university's local credit transfer regulations (in Swedish).
Reading list and other teaching materials
Econometrics, 7,5 Credits
Required Reading
Stock, James H. & Mark W. Watson 2014 / 3. ed. update, Global Edition
Introduction to Econometrics
Pearson Education, 852 pages, approx 330 pages to be read
Time Series Analysis and Forecasting, 7,5 Credits
Required Reading
Becketti, Sean (2013)
Introduction to Time Series Using Stata
Stata Press, College Station, Texas, ISBN/ISSN: 978-1-59718-132-7, 443 pages, Chapters included: 3-10