Tutor information is taken from the Module Catalogue
There are a lot of good textbooks in applied econometrics from introductory to very advanced and, of course, new techniques are being developed continuously. Consequently it is difficult to find one suitable text for the course.
The recommended text book is:
Introductory Econometrics for Finance, Chris Brooks,
Cambridge University Press, 2nd Edition 2008, ISBN 978-0-521-87306-2 (paperback)
This book covers basic to quite advanced techniques and the course will only refer to parts of this book. Therefore you will not be expected to cover all the topics covered in the text book. However the book has been recommended because students may wish to learn more advanced techniques during the dissertation stage of the course and the book will be a useful reference going forward.
Jennifer Castle, Michael Clements, David Hendry. Forecasting: An Essential Introduction. Yale University Press, 2019.
Other useful textbooks as an alternative are:
Angrist, J.D. and Pischke, J., Mostly harmless econometrics : an empiricist's companion, Princeton University Press, 2009. (available on Kindle) . Very readable with an emphasis on practice and applications.
Peter Kennedy, A Guide to Econometrics, 6th Edition, Blackwell Publishing, 2008.
A new edition of a good non-technical discussion of econometrics. Excellent if you want an intuitive understanding of the material.
Dougherty, Christopher, Introduction to econometrics, 4th Edition, Oxford University Press, 2011.
This provides a good intuitive description of the subject matter for the non-specialist.
Verbeek, Marno, A guide to modern econometrics, Wiley, 2000.
A more thorough technical description of the subject for those interested in going deeper.
Koop, Gary, Analysis of financial data, Wiley, 2006. (available on Kindle)
More emphasis on the practical side of model building.
If you cannot find what you want in these texts, then try looking at Gujarati, Maddala, Pindyck and Rubinfield or any of the hundreds of others available in the library. The edition is probably not important as most textbooks do not change radically over time. However, the chapter numbers and/or page numbers listed for detailed topic references may change between editions.
The statistical packages, SPSS and STATA are available for use in the computer labs.
Useful books for learning these packages are:
Field, Andy, Discovering Statistics Using SPSS, Sage 2009, Third Edition
Rabe-Hesketh, Sophia and Everitt, Brian, A Handbook of Statistical Analyses Using Stata, Chapman and Hall 2000 Second Edition
Baum, Christopher, An introduction to modern econometrics using Stata, Stata Press, 2006
Econometrics Software (free download)
For students who wish to complete computer lab assignments on their home computers or laptops we recommend using the GRETL software package. This i s a cross-platform software package for econometric analysis, written in the C programming language. It is free, open-source software published by the Free Software Foundation. Gretl can be downloaded from the web site: http://gretl.sourceforge.net
Kennedy, Peter, E., 'Sinning in the Basement: What are the Rules? The Ten Commandments of Applied Econometrics' in Journal of economic surveys., 16(4), 2002, pages 569-589.
Colander, David, 'Economists, Incentives, Judgment and Empirical Work' in Economics Discussion Papers. Kiel Institute for the World Economy, 2008.
Kennedy, Peter, 'Oh No! I Got the Wrong Sign! What Should I Do? ' in Journal of Economic Methodology, 36, 2005, pages 77-92
Murray, Michael P, 'A Drunk and Her Dog: An Illustration of Cointegration and Error Correction' The American statistician., February 1994, Vol. 48, No 1
Other readings will be provided as handouts and/or posted on the VLE as the course progresses
Important Note !
You are NOT expected to read everything on this reading list. You have been provided with a variety of references that explain the material in different ways. You need to find one or other of them to your taste. It is recommended that you sample each of the textbooks and decide which of them you find easiest to get on with. Then, stick with this as your main reference, but do occasionally sample the others if you find that a particular topic is not covered well by your chosen text. Notation can (and does!) vary significantly between different textbooks. It is important that you use the statistical software and analyse the data sets provided. 'Hands-on' is a good way to start to learn econometric techniques and their applications in finance.
This list was last updated on 30/11/2020