2nd TRIMESTER 2014-2015

BEM3014 ECONOMETRIC MODELLING

BEM3014 ECONOMETRIC MODELLING

2nd TRIMESTER 2014-2015

1. Teaching Staff

Mr. Goh Han Hwa

Email: hhgoh@mmu.edu.my
Room: FOMBR3009
Phone: 03-83125052

2. Status of subject

Major

3. Version

Oct 2014

4. Credit Value

3 Credit Hours

5. Pre-Requisite

BEC2044 Econometrics I

6. Objectives

7. Subject Learning
Outcomes

To develop students ability to use economic databases, statistical and

econometrics software to estimate and analyse dynamic econometrics models
to economics related problems.
Subject Learning Outcomes:
LO1 Apply various types of dynamic
econometrics techniques.

Domain
Cognitive

Level

LO2

Cognitive

Level 4

Cognitive

Level 5

LO3

8. Assessment Methods
and Types:

A1
A2
A3
A4

Analyse economic problems by

using various types of econometric
models.
Evaluate the appropriateness of
econometric models.

Method
Lab Experiments
Assignment/Project/
Presentation (to be
uploaded in Week 3)
Mid-term Test
Final Exam

Level 3

Description/Details
Lab test/ Hands-on
practice
Group written report

Percentage
10%

Written Examination
Written Examination

20%
50%

20%

Text

Damodar N. Gujarati and Dawn C. Porter. (2009). Basic

Econometrics. (5th Ed). McGraw-Hill.

Reference(s)

Marno Verbeek. (2012). A Guide to Modern

Econometrics. (4th Ed). John Wiley & Sons, Inc.

9. Reading Materials

Ngai Hang Chan. (2010). Time Series: Applications to

Finance with R and S-Plus. (2nd Ed). John Wiley & Sons,
Inc.
William, W.S. Wei. (2006). Time Series Analysis:

By: HH Goh

2nd TRIMESTER 2014-2015

BEM3014 ECONOMETRIC MODELLING

Univariate and Multivariate Methods. (2nd Ed). Pearson

Education.
Pindyck, R. S. and Rubinfeld, D. L. (1998). Econometric
Models and Economic Forecasts. (4th Edition), McGrawHill. New York.
10. Details of Subject
Contents
1. Introduction to Econometrics Modelling and A Brief Review of Statistics
Chapter 1(Gujarati and Porter)

Week
1

** Note: No Laboratory on Week 1

2. Time Series Econometrics: Some Basic Concepts (Unit Root Test)
Chapter 21 (Gujarati and Porter)

3. Dynamic Econometric Models: The Granger Causality Test

Chapter 17 (Gujarati and Porter)

4. Modelling Analysis with VAR (Vector Autoregressive Model)

Chapter 22 (Gujarati and Porter)

5. Modelling Analysis with VECM (Vector Error Correction Model) and Impulse
Response Function
Chapter 14 (Pindyck) & 21 (Gujarati and Porter)

5&6

6. Qualitative Response Regression Models (Logit, Probit & Tobit Models)

Chapter 15 (Gujarati and Porter)

7&8

7. The Box-Jenkins Methodology for ARMA & ARIMA (Univariate Models)

(Autoregressive and Distributed-Lag Models) and Model Identification
(Correlogram/ Seasonality Test)
Chapter 22 (Gujarati and Porter)

9 & 10

MID-TERM BREAK
8. Extensions of ARCH/ GARCH models:
GARCH (1,1); Threshold ARCH ; EGARCH
Chapter 22 (Gujarati and Porter)
9. Introduction to Panel Data Models:
Fixed effect model; Random effect model.
Chapter 16 (Gujarati and Porter)

11

12 & 14

11. Lab Test (10%)

Venue and time to be confirmed in due course

12. Mid-term Test (20%)

Venue and time to be confirmed in due course

12

13. Assignment Presentation (5%)

Assignment Submission (15%)

13

*Note: The deadline of submission of written assignment is to fall on Week

13
by Friday, 12pm.
FINAL EXAM (50%)
Coverage: ALL Chapters
- Exam Format: Answer ALL 4 structured questions within 2 hours

BEM3014 ECONOMETRIC MODELLING

2nd TRIMESTER 2014-2015

Course Policy:
Students are required to abide by the universitys Academic Regulations pertaining to all matters during
their course of study. Academic Honesty is required of all members of a learning community. Hence, MMU
will not tolerate cheating or plagiarism on tests, examinations, papers or other course assignments.
Students who engage in such dishonesty may be given failing grades.
Attendance Policy:
Attendance is critically important and will be taken on a regular basis. Attendance should not be less
than 80% on Lectures and Labs individually. You will be barred if your attendance is less than
80%. All Students must sign in the attendance list during Lectures or Labs. Students should get
their top priority right by attending all the lectures, labs and lab test, mid-term exam etc. A written
letter with relevant documents is required to explain the reasons for absence.
If you are absent for assignment presentation, mid-term or lab tests, it is your responsibility to
inform your lecturer and submit the relevant valid documents to justify for replacements within 3
days after the exam date, or else you will be given zero. Please take note that below are some
excuses that are not acceptable to justify your re-sitting for the mid-term test or lab test,
Oversleeping
No transportation
Traffic jam
Ignorance of the date or time of the test
Sickness without an MC from the panel clinic or government hospital

ALL THE BEST AND BE BLESSED!