BE333-6-AU-CO:
Empirical Finance
2018/19
Essex Business School
Colchester Campus
Autumn
Undergraduate: Level 6
Current
Thursday 04 October 2018
Friday 14 December 2018
15
-
Requisites for this module
BE314 or EC252
(none)
(none)
(none)
(none)
BSC N300 Finance,
BSC N301 Finance (Including Foundation Year),
BSC N302 Finance (Including Year Abroad),
BSC N304 Finance (Including Placement Year)
This module builds on the second-year module, BE314 Financial Modelling, to deepen students’ understanding of Ordinary Least Squares (OLS) estimation. The emphasis is on the pitfalls of OLS and problems with data. Problems and issues frequently encountered in practice, such as non-linear data generating processes, heteroscedasticity, autocorrelation and unit roots are examined. In each case, we start off by defining the problem at hand, move on to how OLS results and prediction might be affected if the problem goes undetected, discuss the commonly employed tests for detection, and end with a discussion of corrective action. The context is topics from Finance, and we make extensive use of econometric analysis software Eviews to run models with real financial data.
Module Learning Outcomes
By the end of this module you should be able to:
• Set up an OLS model to estimate a linear relationship between a set of variables. Be able to interpret all items in an OLS output.
• Work with non-linear but linearisable data generating processes and estimate models based on them using OLS.
• Describe in detail the problems such as heteroscedasticity and autocorrelation that have to be dealt with when performing OLS estimation. Be able to perform diagnostic tests and take corrective actions.
• Set up a time series model. Describe in detail how non-stationarity affects estimation. Be able to detect and correct for non-stationarity in the data.
• Understand the concept of panel data and when to use appropriate estimation methods.
• Achieve proficiency in Eviews.
Skills for your professional life (Transferable Skills)
The module is geared towards building up or enhancing the following transferable skills:
• Proficiency in estimating econometric models using Eviews.
• The ability to interpret in detail model output and write up a brief technical report on it.
• Make useful contributions at model-building stage within a team setting when dealing with econometric estimation.
No information available.
No information available.
EBS Student Services
ebshelp-col@essex.ac.uk
Contact time consists of a two-hour lecture per week for ten weeks and a one-hour computer lab per week for nine weeks. Labs are absolutely essential for the learning process and the value added of this module. You are expected to do the relevant reading and preparation before each lecture and lab.
This module does not appear to have a published bibliography.
Assessment items, weightings and deadlines
| Coursework / exam |
Description |
Deadline |
Coursework weighting |
| Coursework |
ESSAY |
|
|
| Exam |
Main exam: 120 minutes during Summer (Main Period)
|
Additional coursework information
The student with the highest overall mark in the module will receive an award in the form of £150 worth of books from SAGE Publishing
Exam format definitions
- Remote, open book: Your exam will take place remotely via an online learning platform. You may refer to any physical or electronic materials during the exam.
- In-person, open book: Your exam will take place on campus under invigilation. You may refer to any physical materials such as paper study notes or a textbook during the exam. Electronic devices may not be used in the exam.
- In-person, open book (restricted): The exam will take place on campus under invigilation. You may refer only to specific physical materials such as a named textbook during the exam. Permitted materials will be specified by your department. Electronic devices may not be used in the exam.
- In-person, closed book: The exam will take place on campus under invigilation. You may not refer to any physical materials or electronic devices during the exam. There may be times when a paper dictionary,
for example, may be permitted in an otherwise closed book exam. Any exceptions will be specified by your department.
Your department will provide further guidance before your exams.
Overall assessment
Reassessment
Module supervisor and teaching staff
Prof Dimitris Korobilis, email: d.korobilis@essex.ac.uk.
Dimitris Korobilis and Cheng Yan
E: ebsugcol@essex.ac.uk
Yes
Yes
No
Dr Athanasios Verousis
The University of Newcastle-upon-Tyne
Senior Lecturer in Accounting & Finance
Prof Christos Ioannidis
Aston University
Professor
Available via Moodle
Of 39 hours, 21 (53.8%) hours available to students:
16 hours not recorded due to service coverage or fault;
2 hours not recorded due to opt-out by lecturer(s).
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