Master of Applied Econometrics

This subject provides an introduction to the essential skills for the management of business data to enable the application of analytics and evidence-based decision-making in business. It entails the study of the principles and tools for business data management and modelling. The focus of the subject is enabling business decision-making, and includes consideration of effective presentation and reporting of business data. Data sets will be drawn from multiple industries and business disciplines (accounting, economics, finance and management & marketing).

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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, panel data, and methods for discrete dependent variables. These methods are consolidated through a research project which involves formulating hypotheses, real-world data collection, and writing-up the results in a formal report.

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This subject focuses on time series 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, pooled forecast procedures and forecast evaluation. The subject is applications-orientated.

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This subject covers a range of statistical methods and computational approaches that are applicable in business and economics. This will include a review of data types and regression, and statistical methods for prediction, classification, and causal analysis.

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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.

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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.

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This course is concerned with the application of quantitative tools to model, estimate and forecast financial variables. Topics considered include: the analysis of the properties of financial data (such as non-normality and non-stationarity); the application of estimation methods (such as unit roots and cointegration) to test the rational valuation model of share prices; the application of the GARCH class of models to estimate volatility and to test the capital asset pricing model.

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This subject teaches core methods used in economics, finance and business for empirical research and data analysis. Extensions of the multiple regression model are examined. Topics include causal and statistical interpretations of regression models, instrumental variables, panel data and time series regression models and relevant statistical theory. Methods are consolidated through a Capstone project involving hypothesis-formation, real-world data collection, and writing-up the results in a formal report.

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Decision making in central banks, consulting firms, and other institutions relies on advanced empirical analyses of economic data. This subject provides a cutting-edge econometric methodology for empirical macroeconomic research. The focus is on modelling unit-root nonstationary processes that describe many economic time series. Applications of these econometric techniques include forecasting and nowcasting macroeconomic variables including using big data, estimating the effects of monetary policy, as well as modelling trend inflation. Topics in climate change include forecasting CO2 emissions for the 21st century. The focus is on the development of programming skills that allow for performing rigorous applied macroeconomic research in R. This subject also provides students with the experience of carrying out a research-based project on a specific topic in applied econometrics.

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This subject aims to familiarize students with the tools commonly used for identifying and estimating treatment 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. This subject also provides students with the experience of carrying out a research-based project on a specific topic in applied econometrics.

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The subject will focus on estimating and testing nonlinear models in finance including volatility models, artificial neural networks, factor models of contagion and discrete models of financial behaviour. Special attention will be given to estimating and testing dynamic latent factor models using Principal Components and Kalman filters, modelling risk neutral dynamics in option markets, and fat-tailed behaviour in asset returns using extreme value theory and copulas. Estimation and testing methods are based on maximum likelihood methods. The R, RStudio and Excel computer programs will be used throughout the course. This subject also provides students with the experience of carrying out a research-based project on a specific topic in applied econometrics.

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The subject provides an understanding of the economic analysis of market and government decisions affecting the environment. Topics include economic principles used in analysing private sector decisions on resource use and preservation, externalities and public goods reasons for government intervention, the theory and practice of benefit cost analysis, case study illustrations to water, forests, greenhouse gases and biodiversity.

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This subject examines important features of financial markets, illustrating how economic analysis can aid understanding of those features. Topics considered may include: payments systems (drawing on network economics); security issuance techniques (drawing on auction theory); credit rationing (drawing on asymmetric economics); financial market regulation (drawing on the theory of regulation); macroeconomic determinants of financial prices; flow of funds analysis and long term influences on saving, investment and financial markets (such as retirement incomes policy); international debt defaults and enforcement and international agencies.

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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.

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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.

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This subject will cover the determinants, patterns and effects of international trade within a general equilibrium framework, where the interrelationships amongst product and factor markets in an economy are explicitly taken into consideration. It deals with how trade is affected by government policies and international trading agreements. It introduces basic analytical tools for evaluating the welfare and income distributional consequences of trade policies from both an industry and national perspective. The theories are related to current issues in international economics, such as globalisation, regional trading blocs and trade policies generally in Australia and the rest of the world.

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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.

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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.

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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.

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The subject is a combination of principle and practice. It provides an overview of the economic principles governing financial markets; then provides insights into some important empirical and practical issues concerning the operation of financial markets; and concludes with a discussion of some practical issues associated with Australian financial markets.

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This subject examines important features of financial markets, illustrating how economic analysis can aid understanding of those features. Topics considered may include: payments systems (drawing on network economics); security issuance techniques (drawing on auction theory); credit rationing (drawing on asymmetric economics); financial market regulation (drawing on the theory of regulation); macroeconomic determinants of financial prices; flow of funds analysis and long term influences on saving, investment and financial markets (such as retirement incomes policy); international debt defaults and enforcement and international agencies.

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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.

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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. The overall objective of this subject is to provide students with an integrated neoclassical approach to address substantive macroeconomic questions to improve their critical thinking and analytical skills and enhance their understanding of aggregate economic behaviour.

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Decision making in central banks, consulting firms, and other institutions relies on advanced empirical analyses of economic data. This subject provides a cutting-edge econometric methodology for empirical macroeconomic research. The focus is on modelling unit-root nonstationary processes that describe many economic time series. Applications of these econometric techniques include forecasting and nowcasting macroeconomic variables including using big data, estimating the effects of monetary policy, as well as modelling trend inflation. Topics in climate change include forecasting CO2 emissions for the 21st century. The focus is on the development of programming skills that allow for performing rigorous applied macroeconomic research in R. This subject also provides students with the experience of carrying out a research-based project on a specific topic in applied econometrics.

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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.

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This subject aims to familiarize students with the tools commonly used for identifying and estimating treatment 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. This subject also provides students with the experience of carrying out a research-based project on a specific topic in applied econometrics.

View detailed information in the Handbook

The subject will focus on estimating and testing nonlinear models in finance including volatility models, artificial neural networks, factor models of contagion and discrete models of financial behaviour. Special attention will be given to estimating and testing dynamic latent factor models using Principal Components and Kalman filters, modelling risk neutral dynamics in option markets, and fat-tailed behaviour in asset returns using extreme value theory and copulas. Estimation and testing methods are based on maximum likelihood methods. The R, RStudio and Excel computer programs will be used throughout the course. This subject also provides students with the experience of carrying out a research-based project on a specific topic in applied econometrics.

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There are numerous mathematical methods used to obtain efficient solutions to a large variety of complex business problems. This subject provides students with the ability to formulate a business problem as a mathematical model, and then to use quantitative techniques to identify a solution to the model. Topics covered include linear programming, duality, integer programming, mixed integer programming, non-linear programming, Monte Carlo simulations, decision trees, expected value of perfect information, sample information and control, and sensitivity analysis.

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Rapid advancements in technology (particularly the internet), combined with fast and cheap computing power, have enabled firms to radically transform their industries by developing business models and reengineering their supply chains. This subject provides students with the ability to use appropriate tools and techniques to analyse strategic, tactical and operational decisions pertaining to inventory management, facility location, logistics and other supply chain management related decisions. In addition, students will be exposed to how real-world logistics and supply chain decisions have been made through relevant case studies.

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This subject provides an insight into the complexities and challenges of making business decisions in an Australian setting. Working in small teams, students will conduct research, analyse, evaluate and propose practical solutions to an assigned business planning or business development exercise. This will be supported by online modules and seminar work equipping the students with knowledge of approaches, tools and techniques for completing the task and an understanding of report formats appropriate for conveying the results. During the practicum, in-depth research will be undertaken in identifying the scope, opportunities constraints and recommendations of the exercise. Students will learn to: work with unstructured and incomplete information in Australian business settings, to develop research and networks to support their enquiry, to work successfully in teams, to present their findings and seek and receive constructive feedback in a range of settings. Students will also be encouraged to plan, reflect and modify their approaches to improve the outcomes of their efforts in managing the business project.

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This subject provides an insight into the complexities and challenges of making business decisions in an international setting. Students will be assigned in small groups to research a business problem in an international context. Working in teams, they will conduct research, analyse, evaluate and propose practical solutions to an assigned business planning or business development exercise. This will be supported by online modules and seminar work equipping the students with knowledge of approaches, tools and techniques for completing the task and an understanding of report formats appropriate for conveying the results. During the practicum, in-depth research will be undertaken in identifying the scope, opportunities, constraints and recommendations of the exercise. Students will learn to work with unstructured and incomplete information in international business settings, to develop research and networks to support their enquiry, to work successfully in teams, to present their findings and seek and receive constructive feedback in a range of settings. Students will also be encouraged to plan, reflect and modify their approaches to improve the outcomes of their efforts in managing the business project.

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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.

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