Solved: Application of Eviews software

COURSEWORK 2019/20

General Information

Students taking this module must carry out an empirical project. This project accounts for 50 % of the final mark. The word count must be between 2000 and 2500 words. The project must be your own work. The main aim of this coursework is:

· To gain skill in the use of Eviews software to carry out an empirical project.
· To acquire (improve) research skills including finding relevant literature and data sources.

· To be able to apply in practice different econometric models acquired using real world data.

Required

You can choose any topic as long as it is consistent with the content of the MSc course you are undertaking. You might want to choose a topic based on an interesting data set or a published article. Do not agonise too long over choosing a topic. Once you have chosen a topic and collected the required data, do not be tempted to switch. A replication study can be a good option. Get a published paper that use models similar to those taught in Financial Modelling (or can be replicated using taught methods). A replication study involves repeating similar empirical exercise using (i) extended data sets, (ii) the same model on different data, (iii) testing the robustness and sensitivity of the published results and/ or (iv) any other extension – minor or otherwise – that one may add or make on the existing work. Alternatively, you may start thinking of a topic that can be developed into a dissertation. In any case, the coursework is an empirical exercise, which requires the following:

Applying econometric models taught in this module.
Interpreting econometric findings in line with existing/ known theory or conceptual framework.
Finding data suitable for the study. The sample size need to be at least 50 years for annual data, 14 years for quarterly data, 7 years for monthly data and 5 years for weekly and daily data. Please note, the larger the sample, the better.

Finding the appropriate data can be the most difficult part. Make it your first priority and check that the data is available before deciding on a topic. There are various databases from the university (DataStream, Bloomberg) and other credible websites. Make sure you have enough observations and variables. The sample size plays an important role in the precision of your results and what you can do. Make sure that you know the exact definition of the data. Terms like income and prices are not acceptable. Are the variable in constant or current prices? What is their base year? What is their coverage (Net or Gross, National or Domestic)? Are they seasonally adjusted?

Structure

The final project must be typed, structured and well organised. Do not just transcribe the results of performing dozens of regressions. Try to structure the interpretation of the results, pose questions and explain how the regressions provide answers to them. As you write up the results you are almost certain to think of something else you need to do. Therefore, start writing up early. You should inform the reader about the things they are not expected to know and will need to know in order to understand what you have done. Do not copy out large chunks from econometric textbooks. It is likely I know most of that, just give a reference. I strongly recommend that the project takes the following form. The length of each section will differ from project to project. (I) First page (5 Marks): This should contain your name, title of the project and a short abstract of not more than 100 words. Give any acknowledgements for any help that you may have received whilst working on your project. (II) Introduction (10 Marks): Introduce the subject and give some background information and refer to any relevant literature. This should follow the questions that you are going to attempt to answer and the significance of the results from this study. (III) Theory/ Literature Review (20 Marks): Set out very briefly the economic theory or motivation for the topic. Use it to specify a model. Discuss the interpretation of the parameters (e.g. elasticities, marginal propensities, etc) and set out any a priori expectations of the signs and magnitude of the parameters if necessary. Also comment on the hypotheses to be tested (e.g. efficient market, stability of parameters, etc). (IV) Data (10 Marks): Discuss the sources of the data, the sample size and frequency of the data, definitions of the variables. Describe the main features of the data with graphs. Submit the data you used via the appropriate link on a disk which should be taped to the back of the project. (V) Econometric Model (15 Marks): Use the economic model and the structure of the data to choose an econometric model (e.g. linear regression, ARIMA, GARCH, Probit/ Logit etc.). Explain why you choose a particular econometric model. Report the results briefly. (VI) Interpretation (15 Marks): Evaluate your chosen empirical econometric model in the light of the theory/ framework that was postulated and compare your results with those of past studies. (VII) Conclusion (10 Marks): Explain the significance of your results and how they relate to the questions posed in the Introduction. Discuss future avenues for research. (VIII) References1 (10 Marks): There should be a list of works cited at the end. (IX) Appendices: Report further and additional results when appropriate. The appendices are not part of the word count. The main results should not be reported here. The remaining 5 marks are for the overall presentation. Before you hand your project in check that your project has your name, a title, an abstract, page numbers, references, the pages are numbered in the right order, the tables are numbered properly and the data are submitted. Re-read it a final time to check. Appendix 1: Data Links The following are some useful websites that provide access to data. Most of these data are also available from DataStream and Bloomberg.

ArchivaL Federal Reserve Economic Data (ALFRED), Economic Data Time Travel from the St. Louis Fed's Economic Research Division
American Bureau of Statistics (ABS)
Australian Bureau of Statistics (ABS)
Bank of England Database
Bank for International Settlement (BIS) Statistics
BPEnergyStatistics
Bureau of Economic Analysis (BEA)
Bureau of Labor Statistics
Carbon Dioxide Information Analysis Centre
China Health Statistics
China Statistical Year Book
Doing Business (The World Bank)
EconData.uk
Economagic.com: Economic Time Series Page
Economic and Social Commission for Asia and the Pacific (ESCAP) Statistical Database
Electronic Data Delivery System (EDDS), is a dynamic and interactive data dissemination system providing access via internet to the statistical data produced and/or compiled by the Central Bank of the Republic of Turkey
European Central Bank Statistical Data Warehouse
Eurostat
Federal Reserve Bank of Dallas
Financial and Macroeconomic Connectedness
Groningen Growth and Development Centre (GGDC), offers a range of comprehensive databases on indicators of growth and development, divided in three main research areas: productivity, value chains and historical development
Harvard Dataverse
International Center for Finance
International Monetary Fund (IMF) eLibrary Data
Maddison Historical Statistics
Microfinance MIX Market
National Bureau of Economic Research (NBER)
Office of National Statistics (UK)
Organisation for Economic Co-operation and Development (OECD) Data
Polity Political and Democracy Data
Quandl
Robert Shiller Online Data § S&P Dow Jones Indices

The Penn World Table provides purchasing power parity and national income accounts converted to international prices for 189 countries/territories for some or all of the years 1950-2010

United Nations data
UNCTADstat
Varieties of Democracy
World Bank Open Data
World Income Data
Yahoo finance

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