EC205: Intermediate Econometrics

Module code: EC205

Module provider: Economics; School of Philosophy, Politics and Economics

Credits: 20

Level: 5

When you’ll be taught: Semester 2

Module convenor: Dr Shixuan Wang , email: shixuan.wang@reading.ac.uk

Pre-requisite module(s):

Co-requisite module(s): IN THE SAME YEAR AS TAKING THIS MODULE YOU MUST TAKE EC204 (Compulsory)

Pre-requisite or Co-requisite module(s):

Module(s) excluded:

Placement information: NA

Academic year: 2025/6

Available to visiting students: Yes

Talis reading list: Yes

Last updated: 3 April 2025

Overview

Module aims and purpose

This module introduces students to specialised econometric methods for time series and panel data, illustrated by empirical applications in macroeconomics and finance. The module is structured in two parts: the first part covers time series data, and the second part focuses on panel data. Each topic is taught through a combination of (1) econometric method, (2) Monte Carlo simulations, and (3) real world applications. In addition, students will develop their econometric software skills by using R in the computer workshops.Ìý

The module aims to equip students with specialised econometric tools for analysing time series and panel data, with an emphasis on applying these techniques to real-world datasets. Furthermore, it seeks to enhance students’ employability by developing their data analysis skills through R programming.

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Module learning outcomes

By the end of the module, it is expected that students will be able to:​

1. Holistically understand and the need for and the nature of different time series datasets
2. Theoretically prove the statistical properties of time series models
3. Practically implement time series econometric methods using R

Module content

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

Panel data topics may include first-difference estimator, fixed effects model, random effects model, and differences-in-differences.Ìý

Structure

Teaching and learning methods

Lectures, and computer classes; supported by independent study.

Study hours

At least 30 hours of scheduled teaching and learning activities will be delivered in person, with the remaining hours for scheduled and self-scheduled teaching and learning activities delivered either in person or online. You will receive further details about how these hours will be delivered before the start of the module.