Study@ANU 2010

Applied Macro and Financial Econometrics EMET8010  - Details

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Offered By: School of Economics
Academic Career: Graduate Coursework
Course Subject: Econometrics
Offered in: Second Semester, 2010
Unit Value: 6 units
Course Description: 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.
Learning Outcomes: 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

  • Assignment 1: 15%
  • Assignment 2: 15%
  • Midterm examination: 20%
  • Final examination: 50%
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 Website
Preliminary Reading: See Course Website
Indicative Reading List: See Course Website
Programs: Graduate Diploma in Economics, Graduate Diploma in Economic Policy, Master of Economics, Master of Applied Economics, Master of Applied Economics, Master of Economic Policy, Master of International and Development Economics, and Master of Environmental and Resource Economics
Other Information: See Course Website
Academic Contact: See http://ecocomm.anu.edu.au/courses/course.asp?code=EMET8010
Please direct all enquiries to: Student Business Solutions
Page authorised by: The Registrar
Note: The information published on the Study@ 2010 website applies to the 2010 academic year only. All information provided on this website replaces the information contained in the Study@ 2009 website.
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