Quantitative Methods

Module Code: EC4090

Module Title: Quantitative Methods

• ECTS Weighting: 15
• Semester/Term Taught: Michaelmas + Hilary Term
• Contact Hours: 44 hours of lectures and 10 hours of tutorials
• Module Personnel: Lecturer - Professor Andrew Somerville / Lecturer - Professor Vahagn Galystan

Learning Outcomes

Having successfully completed this module, you will be able to:

• Apply mathematical techniques to economic problems in both dynamic and static settings;
• Derive and understand economic insights from solutions to mathematically formulated economic models;
• Derive and understand properties of different estimators;
• Apply this knowledge to analyzing statistical data;
• Simulate different estimators in STATA.

Module Learning Aims

Satisfactory completion of this module will contribute to the development of the following key skills:

• Ability to represent economic ideas in mathematical form;
• Ability to quantify the implications of economic models;
• Ability to simulate economic models.

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Module Content

The course comprises two modules. The first module of Quantitative Methods is a continuation of the Junior Sophister Mathematical Economics module. The emphasis is on dynamic analysis, including differential and difference equations, and dynamic optimization.

Topics discussed during Michaelmas Term include:

• Differential equations;
• Difference equations;
• Dynamic optimization.

The second module deepens and extends the treatment of classical econometric and time-series methods given in the Junior Sophister Econometrics course. The deepening focuses on regression methods and misspecification testing, cointegration and unit root econometrics. Empirical examples are discussed in most of these areas, and students are supervised in applied work of their own using the STATA econometrics package.

Topics discussed during Hilary term include:

• Statistical Properties of OLS;
• Generalized Least Squares;
• Instrumental Variables;
• Unit Roots and Cointegration.

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Recommended Reading List

Module 1:

• A.C. Chiang and K. Wainwright (2005), Fundamental Methods of Mathematical Economics (4th ed.), McGraw-Hill.

Module 2:

• J. Johnston and J. Di Nardo (1997), Econometric Methods (4th ed.), McGraw Hill;
• J. Stewart and L. Gill (1998), Econometrics (2nd ed.), Prentice-Hall;
• K Cuthbertson (1996), Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, Wiley;
• J. Campbell, A. Lo and A.C. MacKinlay (1997), The Econometrics of Financial Markets, Princeton University Press.

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Module Pre Requisite

EC3080 and EC3090

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Assessment Details

There are two projects each counting for 10% of the overall grade in each term. The annual exam accounts for 80% of the overall grade.

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Module Website

Michaelmas Term: http://www.tcd.ie/Economics/staff/rsomrvll/
Hilary Term: TBC

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