Master of Applied Econometrics
- CRICOS Code: 092759B
What will I study?
The Master of Applied Econometrics will provide a comprehensive curriculum covering core microeconomics and macroeconomics, and a suite of econometrics offerings including time series analysis, financial econometrics, microeconometrics, macroeconometrics and structural econometric modelling.
The Master of Applied Econometrics program consists of 16 semester-length subjects comprising:
- 9 core subjects
- 5 electives
- 2 capstone subjects
Explore this course
Explore the subjects you could choose as part of this degree.
Year 1 - Semester 1
- Basic Econometrics12.5
This subject examines multiple regression analysis and its use in economics, management, finance, accounting and marketing. Topics will include the properties of estimators, hypothesis testing, specification error, multicollinearity, dummy variables, heteroskedasticity, serial correlation. Empirical assignments undertaken by the student form an integral part of the subject.
- Forecasting in Economics and Business12.5
Forecasting in Economics and Business
This subject is an introduction to single equation forecasting methods and their applications to business, finance, economics and marketing. Special emphasis will be given to core forecasting techniques with the widest applicability. Attention will be paid to modelling and forecasting trends and cycles. Topics may include forecasting regression models, leading indicators, exponential smoothing methods, ARIMA models, pooling forecast procedures and forecast evaluation. The subject is applications-orientated.
Students are required to attend a minimum of 80% of classes and tutorials in order to pass this subject and regular class participation is expected.
- Mathematical Economics12.5
Set theory, univariate calculus and optimisation are reviewed and applied to the theory of the firm and the theory of consumer demand. Linear algebra concepts including matrix operations, vector spaces and quadratic forms are introduced and applied to problems in economics and econometrics. Applications of multivariate calculus including constrained optimisation, the envelope theorem and Kuhn-Tucker conditions are covered.
The objectives of the subject are to introduce new techniques of microeconomic analysis; and to study applications of microeconomic theory to a range of situations involving behaviour of consumers and firms, and market interaction. Topics include game theory and oligopoly, economics of information, behaviour under uncertainty and general equilibrium analysis.
- Advanced Microeconomics12.5
An introduction to advanced microeconomics and to the economics of information and strategic behaviour. Topics to be covered include decision making under uncertainty, the interaction of primal and dual methods of modelling producer and consumer behaviour, the existence and welfare properties of general equilibrium, the theory of market failure and public goods, models of strategic behaviour in oligopoly, an introduction to game theory.
- Macroeconomics 212.5
This subject develops the analytical skills routinely used by practicing macroeconomists. These may include: theories of long-run economic growth; the flexible and sticky price macroeconomic models; open economy macroeconomic models; and the analysis of macroeconomic policy making.
Year 1 - Semester 2
- Econometrics 212.5
Extensions of the multiple regression model are examined. Topics include non-linear least squares, maximum likelihood estimation and related testing procedures, generalised least squares, heteroskedasticity, autocorrelation and models with stochastic regressors. Limited dependent variable and panel data models and issues involving time-series data are introduced. Theoretical concepts are illustrated by applied examples.
- Applied Microeconometric Modelling12.5
Applied Microeconometric Modelling
This subject examines estimation and testing of microeconometric models based on cross-sectional and panel data and quantitative and limited dependent variables. Illustrative application topics normally will include labour economics, consumer demand and finance. The computer software used is Stata.
- Time Series Analysis and Forecasting12.5
Time Series Analysis and Forecasting
Normally topics will include current techniques used in forecasting in finance, accounting and economics such as regression models, Box-Jenkins, ARIMA models, vector autoregression, causality analysis, cointegration and forecast evaluation, ARCH models. The computer software used is EVIEWS.
This subject is an introduction to advanced study of macroeconomics. An integrated theoretical framework – a simple life cycle model – is used to explore the central issues of macroeconomics. Major topics to be covered include: income determination and economic growth, economic fluctuations and business cycle, fiscal and monetary policy, open economy and international trade.
- Microeconomics 212.5
This subject explains and provides illustrative applications of microeconomic theory of the behaviour of households, firms and government and how the behaviour of the private sector and the public sector influence the efficiency of the economy. Topics include consumer theory, producer theory, perfect competition and general equilibrium, market failures associated with market power, externalities and public goods.
- Economic Development12.5
This subject will address economy-wide issues in economic development. The main objectives of the subject are to examine the key determinants of economic growth and the actual development experience of selected countries. Special emphasis will be placed on drawing policy lessons from the latest research and country experience of growth and development. The subject will cover topics such as social welfare, education, institutions, corruption, microfinance, foreign aid, the geography of economic development, and theories of economic growth and development.
- Money and Banking12.5
Money and Banking
This course provides an overview of the economic principles that underlie the operation of banks and other financial institutions. The impact of monetary policy in Australia will also be examined with particular emphasis on the roles played by the Reserve Bank and other banking and financial institutions. Topics may include how economic theory applies to financial markets; the process of financial intermediation; available financial statistics; the money supply process and the implementation of monetary policy; money in the macroeconomy; the recent behaviour of major financial aggregates; the 1997/98 Asian economic crisis; financial regulation and deregulation; the monetary transmission mechanism; and a discussion of the recent approach to monetary policy in Australia. The course emphasises institutional and public policy issues, providing an Australian perspective on this topical subject.
- Environmental Economics12.5
Environmental issues will be addressed with the aid of economic theory. Topics include sustainability of economies; pollution as an externality; approaches to dealing with pollution in different countries; methods of valuing the environment and environmental damage; effect on future generations; environmental amenity as a public good; and the environment and economic development.
- Behavioural Economics12.5
This subject introduces students to empirical research demonstrating economically important patterns of behaviour that violate standard rationality assumptions, and to theorectical research aimed at capturing these behavioural patterns in tractable models. Most of the semester will be devoted to behavioural aspects of individual decision making, such as temptation and present-biased preferences, prospect theory, reference-dependent preferences, and over-confidence. We will also cover happiness research and behavioural public economics. This subject can be profitably taken alongside ECON30022, which in addition to the design of experiments also covers behavioural aspects of strategic interaction.
- Experimental Economics12.5
Experimental Economics is a branch of economics that uses controlled experiments to evaluate theories and behavioural assumptions, as well as to test policies and their implementation. The subject will introduce students to experimental methods as applied in economics and present key findings from laboratory and field experiments. The first lecture in most weeks will be devoted to running experiments where students will experience different economic situations. The second lecture will present the theories underlying the experimental games and will use the experimental data from the first lecture (as well as other experimental data) as a vehicle for discussion. By comparing actual individual behaviour to the theoretical predictions, the course aims to provide a deep understanding of individual behaviour and how economic science progresses. Topics that will be covered may include risk, time, and social preferences, trading in a variety of markets such as auction and markets with price controls and for trading long-lived assets, voluntary provision of public goods and cooperation enforcement, social norms and behavioural game theory.
Year 2 - Semester 1
- Econometrics 312.5
Estimation and inference techniques for models involving a single equation and systems of equations are introduced. Normally topics include asymptotic theory, maximum likelihood estimation, classical testing procedures, generalised least squares estimation, seemingly unrelated regression models, stochastic regressors, instrumental variables, generalised method of moments, simultaneous equations models (including VARs) and model-selection procedures.
Year 2 - Semester 1
- Research Methods12.5
This subject provides an overview of research methodology. It aims to introduce a range of skills that are likely to be encountered during the completion of a Research Project as well as in future research and professional work. These skills will include identifying and applying the appropriate econometric techniques, collecting data, examining the relevant literature and employing effective presentation techniques of results.
Year 2 - Semester 2
- Research Project12.5
This subject provides students with the experience of carrying out research independently on specific topics. The student is required to conduct and present the results of an independent piece of applied econometrics research both orally and as an extended essay.
Year 2 - Semester 1
This subject provides an advanced discussion of the main techniques used in macroeconometric analysis. The topics covered in this course will be selected from the following broad areas: (1) Univariate analysis of stationary and non stationary series including ARIMA possesses, unobserved components models, business cycle turning point extraction, regime switching and time varying volatility. (2) Estimation of single equation models with a focus on Euler equations that emerge via optimization. (3) Estimating multiple equation models including reduced form and structural VARs and factor models. In covering these topics the course will focus on developing the skills to undertake rigorous applied macroeconometric research. Particular attention will be paid to the issues that arise when the time series being studied is non-stationary. Successful completion of the course will require use of the computer language GAUSS.
- Computational Economics and Business12.5
Computational Economics and Business
This subject covers the application of computer based techniques to solve the problems encountered in economics and business. The techniques covered include the construction and use of hierarchical data sets, the use of multivariate graphics and statistics in the context of data mining applications, the elements of computer simulations, and the application of linear programming for the analysis of productivity in the context of data envelopment analysis. One aspect of this subject is the introduction of students to different software options. Possible software to be considered will be SAS, Stata, GAUSS, SPSS, TSP, EMS, Scientific Word, and Eviews.
- Treatment Effects and Program Evaluation12.5
Treatment Effects and Program Evaluation
This subject aims to familiarize students with the tools commonly used for identifying and estimating tretment effects and evaluating programs and policies. Topics to be covered include the use and interpretation of Difference in Difference, Instrumental Variables, and Regression Discontinuity Design Estimators. The main theoretical ideas are illustrated with examples drawn from recent applications in the literature. Computer software such as Stata will be used.
- Economic Analysis and Policy12.5
Economic Analysis and Policy
This subject focuses on the application of economics to the analysis of policy issues facing governments in Australia and overseas. The subject begins with a general introduction on the application of principles of microeconomics for guiding the formulation of policy options and their interpretation. It then explores in detail specific topics drawn from health economics, microeconomic reform, income distribution, poverty or other relevant policy areas. For each specific topic the subject presents and evaluates results in the literature and analyses future policy options and their effects.
Year 2 - Semester 2
The specification, estimation and testing of a range of models used to analyse microeconometric data is examined. The models to be considered may include discrete choice models, models for censored and truncated data, models of duration data, models with self-selectivity, models of count data and panel data.
- Bayesian Econometrics12.5
The overall aim of this subject is to introduce students to the essential concepts and techniques/tools used in Bayesian inference and to apply Bayesian inference
to a number of econometric models. Basic concepts and tools introduced include joint, conditional and marginal probability distributions, prior, posterior and predictive
distributions, marginal likelihood and Bayes theorem. Key tools and techniques introduced include Markov chain Monte Carlo (MCMC) techniques, such as the Gibbs and Metropolis Hastings algorithms, for model estimation and model comparison and the estimation of integrals via simulation methods. Throughout the course we will implement Bayesian estimation for various models such as the traditional regression model, panel models and limited dependent variable models using the Matlab programming environment.
- Financial Econometrics12.5
Features of financial data require specific methods of analysis. Basic econometric tools are presented for the analysis of data such as stock exchange returns, exchange rates, bonds prices, etc. Applications of econometric models in finance include option pricing, extreme values and value at risk as well as financial assets portfolio selection. A special focus is put on modelling and forecasting of returns and volatility of financial assets. An up to date selection of time series econometric models and methods is presented. The computer software used is R.
- Modelling the Australian Macroeconomy12.5
Modelling the Australian Macroeconomy
This subject examines the use of macroeconomic models in economic policy analysis. The overall aim of the course is to discuss system approaches to estimating the macro-economy. Special attention will be paid to the SVAR and DSGE approaches and the relationship between them. The course will also include a discussion of optimal and unconventional policies. Topics include: impulse response functions, policy multipliers; policy simulation techniques and sensitivity analysis of economy-wide models. Applications to Australia will also be discussed.
- Econometrics of Markets and Competition12.5
Econometrics of Markets and Competition
This course teaches students how to build econometric models from economic theory to investigate how markets operate, and evaluate policy-relevant questions. Applicants of econometric tools developed in this course will be highlighted in various fields of economics including industrial organization, public economics, health and others. Examples of topics covered include: firms’ use of price discrimination as a profit-maximizing strategy; measuring the welfare effects of mergers for antitrust analysis; identifying strategic interaction amongst governments and its impact on policy decisions; and quantifying moral hazard and adverse selection in health insurance markets. Basic topics in numerical analysis will also be covered, including optimization, numerical integration, and numerical differentiation. The computer software used is MATLAB.