ECM605-Econometrics 2

Module Provider: School of Politics, Economics and International Relations
Number of credits: 20 [10 ECTS credits]
Terms in which taught: Spring term module
Non-modular pre-requisites:
Co-requisites: ECM604 Econometrics 1
Modules excluded:
Current from: 2023/4

Module Convenor: Dr Shixuan Wang

Type of module:

Summary module description:

This module will teach students about advanced econometric methods in time series and panel data, and empirical applications of those in macroeconomics and finance. The module is designed as two parts: the first part will focus on time series data, while the second part will deal with panel data. Each topic will be demonstrated by a mixture of 1) econometric method, 2) Monte Carlo simulations, and 3) real world applications. In addition, students will develop their econometric software skills with an introduction to R during the computer workshops.


The aim of this module is to provide students with a more extensive knowledge and understanding of econometrics in both time series and panel data, especially applying the techniques for research. Additionally, the module will teach students how to implement those econometric techniques, using R.

Assessable learning outcomes:

By the end of the course students should be able to:

  • Understand the special econometrics techniques in time series and panel data.

  • Implement and apply those econometric methods using R.

  • Read relevant academic papers and understand the suitability of the methods employed.

Additional outcomes:

Students will develop their research and data handling skills and be able to critically evaluate methods and approaches chosen by research papers.

Outline content:

Time series topics may include autoregressive moving-average models, unit root/stationarity tests, model selection and diagnostics, forecasting, and cointegration.

Panel data topics may include pooled regression, fixed effects model, random effects model, and differences-in-differences model.

Brief description of teaching and learning methods:

Teaching will be a combination of lectures and computer classes.

Contact hours:
  Autumn Spring Summer
Lectures 20 2
Practicals classes and workshops 8
Guided independent study:      
    Wider reading (independent) 8
    Wider reading (directed) 24
    Exam revision/preparation 40
    Advance preparation for classes 40
    Preparation for tutorials 8
    Preparation of practical report 25
    Completion of formative assessment tasks 5
    Reflection 15 5
Total hours by term 0 153 47
Total hours for module 200

Summative Assessment Methods:
Method Percentage
Written exam 60
Project output other than dissertation 40

Summative assessment- Examinations:

One 3-hour unseen written examination, focusing on testing students’ abilities to apply their understanding of economic methods. Postgraduate examinations are held in the Summer term.

Summative assessment- Coursework and in-class tests:

There will be one course project in which students will implement a set of econometric tasks using R and produce a report.

Formative assessment methods:

There will be computer exercises for each topics, which will be discussed during the lectures and workshops.

Penalties for late submission:

The below information applies to students on taught programmes except those on Postgraduate Flexible programmes. Penalties for late submission, and the associated procedures, which apply to Postgraduate Flexible programmes are specified in the policy “Penalties for late submission for Postgraduate Flexible programmes”, which can be found here:
The Support Centres will apply the following penalties for work submitted late:

  • where the piece of work is submitted after the original deadline (or any formally agreed extension to the deadline): 10% of the total marks available for that piece of work will be deducted from the mark for each working day (or part thereof) following the deadline up to a total of five working days;
  • where the piece of work is submitted more than five working days after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.
The University policy statement on penalties for late submission can be found at:
You are strongly advised to ensure that coursework is submitted by the relevant deadline. You should note that it is advisable to submit work in an unfinished state rather than to fail to submit any work.

Assessment requirements for a pass:

A minimum mark of 50%.

Reassessment arrangements:

Re-assessment for all modules takes place in August/September of the same year.

Re-assessment for this module will be by examination only.

Additional Costs (specified where applicable):

1) Required text books:  None

2) Specialist equipment or materials:  None

3) Specialist clothing, footwear or headgear:  None

4) Printing and binding:  None

5) Computers and devices with a particular specification:  None

6) Travel, accommodation and subsistence:  None

Last updated: 30 March 2023


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