The module starts with a review of the principles of estimation and testing. The classical normal linear regression model is developed, including non-linear transformations and restricted least squares. The diagnosis of the failure of this model, the consequences and possible remedies are considered. The dynamic linear regression model is explained including restricted forms. Cointegration analysis is introduced: stationary and non-stationary series, unit root tests, cointegrating regressions.

Sources of government economic data, surveys and problems of definitions and questionnaire design are considered.

Throughout the module recourse to data and examination of studies will provide practical experience of statistical software, including Microfit and the interpretation of its output. Consideration is given to the presentation of technical material and the writing of an econometric study.

The module will consist of lectures to introduce the material, explain difficult models and problem answering sessions. There will be workshop sessions on using appropriate software to estimate economic relationships. Students will spend 7 hours per week on independent study of the theory and in empirical and analytical exercises relating to the organisation and interpretation of data using economic models.

A micro computer with internet, spreadsheet and econometric software (Microfit) installed.

Gujarati, D N. (2001). Basic Econometrics, 4th ed. McGraw Hill.
Maddala, G S. (2001). Introduction to Econometrics, 3rd ed. Wiley.

A practical exercise involving the use of an econometric package to analyse large data set and to write a report on the interpretation of the results and the associated inherent problems. This will be both word and time limited (normally one week). In assessing this exercise the examiners will expect to see (for a pass grade) the data correctly and efficiently organised and entered into a suitable computer package; a model clearly formulated and the parameters estimated by a suitable method; some analysis of the apparent success of the model as a framework of analysis; an interpretation suitable for non specialist reader and a well organised report.
For a distinction grade the examiners would expect all of the above but also a clear indication that the student fully understood the procedures carried out and that no suitable standard procedure has been omitted, and, in addition, some extra feature which might be an imaginative individual approach either in terms of method or interpretation.