EMET8010 Applied Macro and Financial Econometrics
| Offered By | School of Economics |
|---|---|
| Academic Career | Graduate Coursework |
| Course Subject | Econometrics |
| Offered in | Second Semester, 2009 and Second Semester, 2010 |
| Unit Value | 6 units |
| Course Description |
This course focuses on the development and application of multivariate time series methods suitable for analysing empirical problems that arise in macroeconomics and financial economics. The topics covered include full information analysis of systems of simultaneously determined variables, time series decompositions and multivariate time series models, and macro-econometric models. A typical offering would cover applications of consumption and business cycle theory, asset price determination, and stochastic policy and control analysis. |
| Learning Outcomes |
This course will survey econometric theory which underlies modern applied research on macroeconomic and financial issues, as well as some of the literature that has applied this theory. The main objectives are to give students a background that will enable them to understand and critically appraise applied work on macroeconomic and financial issues, and to provide students with some practical experience in working with macroeconomic/financial data. Discussion during class will focus on issues of simultaneously modeling the dynamic behaviour of several economic time series, with topics covering: 1. Introduction - macroeconomic/financial data vs classical assumptions 2. Dynamic modeling 3. Simultaneous equation models 4. Vector autoregressions, causality and impulse response analysis 5. The unit root debate 6. Cointegration, long-run equilibria and error correction models; and 7. Volatility models. |
| Indicative Assessment |
There will be two assignments, a mid-term and a final examination. The final grade will be determined as
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| Workload | 4 hrs contact per week. |
| Course Classification(s) | AdvancedAdvanced courses are designed for students having reached 'first degree' level of assumed knowledge, which provide a deep understanding of contemporary issues; or 'second degree' and higher levels of knowledge; or for transition to research training programs. |
| Areas of Interest | Econometrics |
| Eligibility | At least an average of 65% (or equivalent) in the final two years of an Australian undergraduate degree with introductory level courses in Economics, Statistics and Econometrics |
| Prescribed Texts |
See Course Outline at: http://ecocomm.anu.edu.au/courses/course.asp?code=EMET8010 |
| Preliminary Reading |
See Course Outline at: http://ecocomm.anu.edu.au/courses/course.asp?code=EMET8010
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| Indicative Reading List |
See Course Outline at: http://ecocomm.anu.edu.au/courses/course.asp?code=EMET8010 |
| Programs | Graduate Diploma in Economic Policy, Graduate Diploma in Economics, Master of Applied Economics, Master of Applied Economics, Master of Economic Policy, Master of Economics, Master of Environmental and Resource Economics, and Master of International and Development Economics |
| Other Information |
For further information please refer to http://ecocomm.anu.edu.au/courses/course.asp?code=EMET8010 |
| Academic Contact | See http://ecocomm.anu.edu.au/courses/course.asp?code=EMET8010 |
The information published on the Study at ANU 2009 website applies to the 2009 academic year only. All information provided on this website replaces the information contained in the Study at ANU 2008 website.
