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UNIVERSITY OF WARWICK

MSc Finance and Economics Examination: January 2021

EC9760 ECONOMETRICS


Instructions

THIS IS AN OPEN BOOK EXAMINATION

Time Allowed: 2 Hours

SECTION A Answer all questions (40 marks)
SECTION B Answer one question (30 marks)
SECTION C Answer one question (30 marks)
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(Continued…/
SECTION A Answer all questions (40 marks)
Question 1 Cross section
Question 2 Time series

SECTION B Cross section answer one question (30 marks)
Question 3
Question 4

SECTION C Time series answer one question (30 marks)
Question 5
Question 6


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Topics: time series
Basic concepts
stationarity
weak dependence
Box Jenkins
Properties of ARMA processes
Dynamic models and G-causality
Nonstationarity, trends, detrending
Tests DF ADF
Cointegration, ECM


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Cross section:
potential outcomes
causal effects
selection bias
problems with OLS
RDD
Stata regression output:
interpretation
Inference: t statistic, p-values
R-squared
confidence intervals
t- and F- tests
endogeneity, IVE
Difference in differences, assumptions