Final year modules
Lecturer: Nicholas J Horsewood
The lectures will illustrate model selection issues for different substantive issues. Classes will utilize these for specific practical problems. Each year the lectures will be selected from the following topics: equation misspecification, omitted variables, simultaneous equation bias, instrumental variables, dynamic single equation models, foreign exchange markets efficiency tests, static, dynamic and equilibrium-correction models, causality and exogeneity; cointegration tests, Johansen‟s estimator and a money-demand function; generalised linear models for binary and categorized dependent variables; Random effect models for panel and other multilevel structures. Diagnostic testing is discussed as it arises.
On completion of this module the student will be able to: describe the various problem settings discussed in the lectures in a non-technical way, and also explain how the formal model is developed and used; conduct various empirical econometric investigations and interpret their results.