IC205-Introductory Econometrics for Finance

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Level:5
Terms in which taught: Spring term module
Pre-requisites: IC104 Introductory Quantitative Techniques for Business and Finance
Non-modular pre-requisites:
Co-requisites:
Modules excluded:
Current from: 2023/4

Module Convenor: Dr Lisa Schopohl
Email: l.schopohl@icmacentre.ac.uk

Type of module:

Summary module description:

This module introduces students to the econometric techniques that are used in the empirical finance literature. 

Aims:

Building on Introductory Quantitative Techniques for Finance module, this module aims to give students a solid understanding of the econometric approaches that are commonly employed to test financial theories. 

Career Management Skills (distributed component): During this module, students will  

• Develop self-awareness in the context of career decision making  


• Learn about potential career paths they can pursue in financial services  


• Practice research, networking and informational interviewing  


• Reflect upon their learning and determine next steps for their development 


• Appreciate the need for continuing professional learning and development throughout their career

Assessable learning outcomes:

Upon completion of the module, students should be able to: 

• Explain the fundamentals of the statistical theory underlying the tools employed to estimate and test econometric models; 


• Formulate and validate econometric models testing financial theories and hypotheses; 


• Interpret and analyse the results from an estimated econometric model; 


• Discuss and critically evaluate the use of econometrics in the published academic finance literature 

Careers-related assessable learning outcomes:  

• assess and articulate skills, interests, values and personality traits in the context of career decision making (self-awareness) 


• conduct research into companies and job roles, develop a professional network and conduct informational interviews (understanding of potential career paths)


• critically reflect on the need for continuing professional learning and development throughout their career 

Additional outcomes:

The module also aims to encourage the development of IT skills and in particular the manipulation of data using statistical software packages. Students will also improve their ability to translate abstract theoretical concepts into practical solutions to financial problems. 

Outline content:

The module covers the following topics: 

• Introduction to Econometrics


• Classical Linear Regression Model (CLRM)


• Assumptions of the CLRM


• Multiple Linear Regressions


• Hypothesis Testing for single and multiple hypotheses


• Goodness of Fit Statistics


• Violations of the CLRM Assumptions: causes, consequences, solutions


• Formulating Econometric Models

Brief description of teaching and learning methods:

The module will be primarily lecture-based with directed textbook based supplementary reading. There will be a number of tutorial/seminar sessions – both classroom-based and computer lab-based – to aid students in developing more in-depth understanding about the linkage between topics and in applying the econometric techniques using econometric software.

Summative assessment- Examinations:

One 2-hour unseen written paperexam. 

The examination for this module will require a narrowly defined time window and is likely to be held in a dedicated exam venue.

Summative assessment- Coursework and in-class tests:

1. One group project, worth 25% of the module mark, involving the use of a statistical software package to undertake econometric analyses and interpret the outcomes, to be submitted in Weeks 1-2 of the summer term.


2. One 750-word essay, worth 10% of the module mark, on their personal view of the career path based on their research to be submitted in Week 11 of the spring term.

Formative assessment methods:

Exercises will be set for the weekly classes, at which attendance is compulsory. 

Career Management Skill: Engagement with the workshops / classes 

Penalties for late submission:

Penalties for late submission on this module are in accordance with the University policy. 

Assessment requirements for a pass:
A minimum mark of 40%.

Reassessment arrangements:

Re-sit examination to be taken in August/September 

Additional Costs (specified where applicable):

Required textbooks: Brooks, C. (2019). Introductory Econometrics for Finance, 4th Edition, Cambridge University Press, Cambridge (UK). £44.99  

Specialist equipment or materials: Calculator (Recommended Models: Casio FX-83GTx or Casio FX-83GTPLUS, Casio FX-85GTx or Casio FX-85GTPLUS; Casio FX-85MS, Texas Instruments BA II Plus). £15.00

Last updated: 30 March 2023