Örebro University School of Business

Course Syllabus

General aims for second cycle education

Second-cycle courses and study programmes shall involve the acquisition of specialist knowledge, competence and skills in relation to first-cycle courses and study programmes, and in addition to the requirements for first-cycle courses and study programmes shall
- further develop the ability of students to integrate and make autonomous use of their knowledge
- develop the students' ability to deal with complex phenomena, issues and situations, and
- develop the students' potential for professional activities that demand considerable autonomy, or for research and development work.

(Higher Education Act, Chapter 1, Section 9)

Subcourse 1: Econometrics

Knowledge and understanding

After completion of the course, the student will have
- deeper knowledge of basic concepts in econometrics
- knowledge of regression models using cross-sectional data, panel data.

Competence and skills

After completion of the course, the student will have
- the ability to use the knowledge in applied situations within financial economics supported by statistical software.

Judgement and approach

After completion of the course, the student will have
- the ability to critically review and evaluate econometric models.

Subcourse 2: Time Series Analysis and forecasting

After completion of the course, the student will have
- knowledge of basic concepts in time series analysis
- knowledge of time series regression
- knowledge of ARIMA modelling of stationary and nonstationary time series
- knowledge of frequently used volatility models
- an understanding of problems arising when analyzing unit root processes
- the abilty to apply the knowledge on real world time series and forecast problems
- the ability to critically review and evaluate time series models and choose the best modelling
approach
- an understanding of the use of time series models for forecasting and the limitations of the
methods
- the ability to convey relevant aspects of modelling issues and results.
- The ability to use these models to analyze financial time series data.

Subcourse 1: Econometrics

- Basic concepts in econometrics: model, non-observable heterogeneity, endogeneity
- Simple and multiple linear regression using cross-sectional data
- Regression models for binary response
- Regression modelling for panel data
- Instrumental variables estimation.

Subcourse 2: Time Series Analysis and forecasting

- Basic concepts in time series analysis: stationarity, autocovariance, autocorrelation, partial autocorrelation.
- ARIMA modelling: Autoregressive models, moving average models, duality, model properties, parameter estimates, forecasts.
- Volatility models: ARCH and GARCH modelling, testing strategy for heteroscedastic models, volatility forecasts.
- Integrated processes: Difference stationarity, teting for unit roots, spurious correlation
- Multivariate time series: Time series regression, VAR models, cointegration, forecasting properties

Lectures and computer labs.

Students who have been admitted to and registered on a course have the right to receive tuition and/or supervision for the duration of the time period specified for the particular course to which they were accepted (see, the university's admission regulations (in Swedish)). After that, the right to receive tuition and/or supervision expires.

For further information, see the university's local examination regulations (in Swedish).

According to the Higher Education Ordinance, Chapter 6, Section 18, a grade is to be awarded on the completion of a course, unless otherwise prescribed by the university. The university may prescribe which grading system shall apply. The grade is to be determined by a teacher specifically appointed by the university (an examiner).

According to regulations on grading systems for first- and second-cycle education (vice-chancellor's decision 2010-10-19, reg. no. CF 12-540/2010), one of the following grades is to be used: fail, pass, or pass with distinction. The vice-chancellor or a person appointed by the vice-chancellor may decide on exceptions from this provision for a specific course, if there are special reasons.

Grades used on course are Fail (U), Pass (G) or Pass with Distinction (VG).

Final Grade:
For the concluding grade Pass on the course, a pass in both the Written Examinations and Computer Labs is required. For the grade Pass with Distinction, Pass with Distinction on the Written examinations and Pass on the Computer Labs is required.

For further information, see the university's local examination regulations (in Swedish).

First-cycle courses of 75 credits in Economics including an independent project of 15 credits. Basic Statistics, 15 Credits and the course Statistics, Introductury mathematics for statisticians, Basic Course, 7.5 credits or the course Economics, Mathematics for Statistical and Economic Analysis, Second Cycle, 7.5 credits.

For further information, see the university's admission regulations (in Swedish).

Students who have previously completed higher education or other activities are, in accordance with the Higher Education Ordinance, entitled to have these credited towards the current programme, providing that the previous studies or activities meet certain criteria.

For further information, see the university's local credit transfer regulations (in Swedish).

Part 1: Required Reading

See this Course Syllabus as PDF