关键词 > EMET3008/4310/8010
EMET3008/4310/8010 Applied Macro and Financial Econometrics
发布时间：2023-10-20
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[EMET3008/4310/8010]
[Applied Macro and Financial Econometrics]
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Mode of Delivery |
On campus |
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Prerequisites |
As listed in Programs and Courses |
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Incompatible Courses |
As listed in Programs and Courses |
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Course Convener: |
Thomas Tao Yang |
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Office hours for student consultation: |
Tuesday 10:30-11:30 In office or via Zoom |
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Research Interests |
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Relevant administrator if any (optional) |
Lili Ceric |
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Phone: |
02 6125 0384 |
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Email: |
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Lecturer(s) |
Thomas T. Yang (Room 1025 Arndt Building) |
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Phone(s): |
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Email(s): |
Course-related emails must be sent to the above email address. I will answer emails every Monday.
Course-related emails sent to my personal ANU email will be disregarded. NOT WORKING at this moment |
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Tutor(s) (optional) |
Mr. Jianhua Mei, Jianhua.mei@anu.edu.au |
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Zoom |
Meeting ID: 934 258 7909 Password: 249929 |
COURSE OVERVIEW
This course will examine modern applied research on macroeconomic and financial issues. The main objective is to allow students to understand, critically appraise and replicate applied work on macroeconomic and financial topics.
Learning Outcomes
On successful completion of this course, students will be able to
1. Outline the fundamental concepts of single-variable stochastic processes.
2. Use univariate time series models to project and predict future outcomes.
3. Clarify the relationship between the modelling of equilibrium relations and the concept of co-integration.
4. Construct and compute a multi-variable time series model.
5. Use statistical software (e.g. Python) to study actual data sets.
A side-objective of the course is for students to practice rigorous mathematical reasoning and to enhance their analytical skills.
Course Format
Each week there will be one 2-hour lecture. Every second week we have one 1-hour tutorial.
Lectures: Monday, 15:05 – 16:55, COP G30.
Make-up class for Oct 2nd Labour Day public holiday: Oct 3rd Tuesday 12:05 – 13:55 COP G30.
Tutorials: Choose one: Tuesday, 14:00 - 15:00, COP G025; Wednesday 16:00 - 17:00 CRISP G018; Wednesday 17:00 - 18:00 CRISP G018.
Office hours: Tuesday 10:30-11:30, Room 1025 Arndt Building or via Zoom.
In tutorials, we will go through problem sets (if any), apply econometrics to some real data problems using Python, and Q&A.
Lecture notes will be uploaded to Wattle. Computer lab problems can be found in wattle at least one day before the tutorial. Solutions to problem sets will also be available in Wattle.
Python
We utilize Python in our computer labs. The most effective method to master it is through “ learning by doing” .
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Course Sc Week |
hedule Summary of Activities |
Assessment |
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1 |
Review of Econometrics |
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2 |
Stationary ARMA models (Hamilton Chapters 2, 3; Enders Chapter 2) and Tutorial 1 |
Assignment 1 due |
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3 |
Stationary ARMA models (Hamilton Chapters 2, 3; Enders Chapter 2) |
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4 |
Stationary ARMA models (Hamilton Chapters 2, 3; Enders Chapter 2) and Tutorial 2 |
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5 |
Modelling Volatility (Enders, chapter 3) |
Assignment 2 due |
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6 |
Trend and testing for unit roots (Enders, chapter 4) and Tutorial 3 |
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7 - 8 |
Teaching break |
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9 |
Trend and testing for unit roots (Enders, chapter 4) |
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10 |
VAR models (Enders, chapter 5) and Tutorial 4 |
Assignment 3 due |
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11 |
VAR models (Enders, chapter 5) (make-up class on Tuesday) |
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12 |
Conitegration, long-run equilibria, error correction models (Enders, chapter 6) and Tutorial 5 |
Assignment 4 due |
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13 |
Conitegration, long-run equilibria, error correction models (Enders, chapter 6) |
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14 |
Revision and Tutorial 6 |
Assignment 5 due |
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15 |
Examination period |
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Recommended Reading:
The textbooks for the course are
Enders, W. Applied Econometric Time Series, Wiley, 2014,
Hamilton, J. D., Time Series Analysis, Princeton, 1994.
Students can also obtain a copy of the books for short term loan from the Chifley library. Online versions of the books are also available through the ANU library. To access them, go the website of the ANU library, search for the book title and click on 'Available Online', then follow the provided link.
Other excellent textbooks include
Stock, J. & M. Watson, Introductory Econometrics, 4-th Edition, Pearson, 2019.
Assessment Summary
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Assessment Task |
Value |
Due Date |
Date for Return of Assessment |
Linked Learning Outcomes (optional) |
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1. Assignments |
50% of the mark |
See course schedule |
In Turnitin |
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2. Final exam |
50% of the mark |
TBD |
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4. Participation bonus |
Up to 1%*50% |
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There will be five assignments. They are counted 50% towards the overall mark. The "Assignments" are partially redeemable: only the best four out of five count. Each
assignment is equally weighted. Each assignment comprises questions that are either
theoretical, applied, or a combination of both. Problem solving is the most important aspect of this course. Each problem set is to be submitted in Turnitin.
Assignments will be available on the course Wattle site at least 10 days before the due dates. Assignments will be due at 23:59 on Sundays.
Final Examination
The final exam is compulsory. Examinable material covers the whole semester. A sample exam is available. The duration of the exam is to be determined. The exam will be marked out of 100. The final exam will be held in the exam period at the end of the semester.
Details will be posted on the ANU exam timetable site.
The exam will be open book, but no electronic devices allowed, except for non- programmable calculators.
Participation Bonus
Throughout the semester, you can earn up to 1 participation point by either asking
insightful questions or providing quality answers to my questions during lectures (one point for one good question or answer). Suppose you obtain 1 participation point, your final exam mark will be adjusted to AdjustedFinalMark = (1+1%)*(original raw mark).The overall raw mark is calculated as follows:
Min{50%* AssignmentsMark+50%* AdjustedFinalMark, 100}.
Once I acknowledge that you've earned a point, please email me either the question you asked or the answer you provided on the same day. Otherwise, the point will be forfeited. A necessary condition to receive a reference letter from me is to earn one participation point.
Scaling
Your final mark for the course will be based on the overall raw mark. However, your final mark may not be the same number as produced by that formula, as marks may be scaled. Any scaling applied will preserve the rank order of raw marks (i.e. if your raw mark exceeds that of another student, then your scaled mark will exceed the scaled mark of that student), and may be either up or down.
Resubmission of Assignments
Resubmission of assignments is not permitted.
Research-Led Teaching
This course teaches state-of-the-art methods and practices in econometrics. We will use applications and data sets from published papers in top academic journals.
Tutorial Seminar Registration
Not applied
Policies
ANU has educational policies, procedures and guidelines, which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. You can find the University’s education policies and an explanatory glossary at:
Students are expected to have read the Student Academic Integrity Policy before the commencement of their course.
Other key policies include:
. Student Assessment (Coursework)
. Student Surveys and Evaluations
Extensions and penalties
Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure.
The Course Convener may grant extensions for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request it in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.
No submission of assessment tasks without an extension after the due date will be
permitted. If an assessment task is not submitted by the due date, a mark of 0 will be awarded.
