Assessment Brief

BSc (Hons) Economics

Programme: BSc (Hons) Economics and Finance
BSc (Hons) Finance and Investment Management

Module Code: AF5039

Module Title: Econometrics

Distributed on: 20th January 2025

Submission Time
21st May 2025 23:59 BST
and Date:

Word Limit: 2,000 words

Weighting: This assignment accounts for 60% of the total mark for this module.
Electronic Management of Assessment (EMA): This assignment must be submitted
Submission of
electronically to the correct Turnitin link titled “Final submission” that is located under the
Assessment:
“Assessment and Submission” folder on the AF5039 module site.
IT IS YOUR RESPONSIBILITY TO ENSURE THAT YOUR ASSIGNMENT ARRIVES
BEFORE THE SUBMISSION DEADLINE STATED ABOVE. SEE THE UNIVERSITY
POLICY ON LATE SUBMISSION OF WORK.
Please note that assignments are subject to anonymous marking.

Instructions on Assessment:

The assignment is an individual written piece of work, and you are required to address all three sections (A,
B, and C) of this question in order to achieve the maximum grade.

Constructing the dataset

For your assignment analysis, you must construct a dataset including a continuous dependent variable (𝑌),
two continuous independent variables (𝑋1 and 𝑋2 ), and a dummy independent variable (𝑋3 ). Please choose
ONE of the two options below:

Option 1: Cross-Section

Dependent variable (𝑌): Real GDP per capita growth (constant USD) in 2023.
Independent variable (𝑋1 ): Log of GDP per capita (constant USD) in 2022.
Independent variable (𝑋2 ): Inflation, unemployment, gross capital formation, or any other relevant
macroeconomic indicator in 2022.
Independent variable (𝑋3 ): A dummy variable constructed based on relevant geographic, developmental, or
institutional country characteristics.

All variables must cover a cross-section of countries (at least 100 observations). You can download the data
for Option 1 using World Bank, IMF, or any other economic database of your choice.

Option 2: Time Series

Dependent variable (𝑌): Daily stock returns for a publicly listed company of your choice.
Independent variable (𝑋1 ): Daily index returns for a relevant stock market benchmark.
Independent variable (𝑋2 ): Daily returns for a commodity or currency of your choice.
Independent variable (𝑋3 ): A dummy variable constructed based on relevant calendar market anomaly or a
relevant company-specific event.

All variables must cover calendar year 2024 at daily frequency (at least 200 observations). You can download
the data for Option 2 using Bloomberg, Yahoo Finance, or any other financial database of your choice.

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Assessment Brief

Section A: Ordinary Least Squares (500 words, 15 marks)

Briefly discuss the dataset you have constructed and present relevant descriptive statistics (3 marks). Estimate
the regression equation 𝑌 = 𝛽0 + 𝛽1 𝑋1 + 𝛽2 𝑋2 + 𝛽3 𝑋3 + 𝜀 via ordinary least squares (2 marks). Interpret all
regression coefficients (including the constant) and assess their statistical significance using a T-test (4
marks). Discuss the explanatory power of the model using the R-squared and the F-test (2 marks). Briefly
explain the implications of documented relationships or lack thereof for theory and practice in context of
relevant academic sources (4 marks).

Section B: Diagnostic Tests (800 words, 24 marks)

Discuss the assumptions you used when performing an ordinary least squares regression (4 marks). Formally
test for any THREE (3) different assumption violations using appropriate statistical procedures, justifying and
critically evaluating these using relevant literature (15 marks). Briefly discuss the implications of the results for
model validity (5 marks). In this section, you can address concepts such as, for example, autocorrelation,
heteroskedasticity, multicollinearity, endogeneity, heterogeneity, or omitted variable bias.

Section C: Robustness Checks (700 words, 21 marks)

Perform ONE (1) robustness check of your choice for your model. Present the procedure using necessary
equations, tables, and figures, and referencing appropriate academic sources (12 marks). Discuss the
relevance of the robustness test employed in relation to model and diagnostic test results (5 marks). Compare
the coefficients qualitatively and quantitatively to those obtained from ordinary least squares (4 marks). In this
section, you can address concepts such as, for example, subsample estimations, robust standard errors,
weighted least squares, autoregressive and moving average models, ARCH and GARCH, quantile regression,
robust least squares, ridge regression, or LASSO.

You must supply evidence of your calculations and analysis where tables, charts, and figures should be
presented from Excel, EViews, Stata, SPSS, or other software of your choice.

Mapping to Programme Goals and Objectives

Knowledge and Understanding

Apply knowledge of contemporary professional practice in business and management informed by
X
theory and research.
Apply knowledge of business and management to complex problems in or related to professional
X
practice in order to identify justifiable, sustainable and responsible solutions.
Intellectual and Professional Skills and Abilities

Apply effective interpersonal communication skills and the ability to work in multi-cultural teams.

Produce evidence of self-reflection as a means of informing personal development planning.

Demonstrate skills and attitudes for progression to post-graduate contexts including professional
X
work, entrepreneurship and higher-level study.
Personal Values Attributes (Global and Cultural Awareness, Ethics, Curiosity)

Develop an awareness of the cultural and ethical contexts in which international business operates.

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Assessment Brief

Module Specific Assessment Criteria and Rubric

Section A:

Grade Description
0-9 No real attempt made.
Demonstrates extremely poor understanding of the ordinary least squares regression, its model
10-19 equation, estimation procedure, and significance testing. Supporting evidence of calculations
and analysis may be entirely missing or have significant omissions.
A poor attempt showing little understanding of the ordinary least squares regression, its model
20-29 equation, estimation procedure, and significance testing. Supporting evidence of calculations
and analysis may have material omissions.
A fair attempt that is however showing substantial limitations in of the ordinary least squares
30-39 regression, its model equation, estimation procedure, and significance testing. Supporting
evidence of calculations and analysis may have omissions.
A reasonable attempt that shows some engagement with the assignment question and
demonstrates understanding of ordinary least squares regression, its model equation,
40-49
estimation procedure, and significance testing that is sufficient to pass. Supporting evidence of
calculations and analysis may be superficial or contain substantive errors.
A good attempt that shows engagement with the assignment question and demonstrates
necessary knowledge of ordinary least squares regression, its model equation, estimation
50-59
procedure, and significance testing. However, the presentation is more descriptive than
analytical. Supporting evidence of calculations may contain errors.
A very good attempt that shows engagement with the task and demonstrates knowledge and
understanding of ordinary least squares regression, its model equation, estimation procedure,
60-69 and significance testing with some discussion of real-world implications. The presentation could
have been more consistently analytical rather than descriptive. Supporting evidence of
calculations may contain minor errors.
An excellent attempt that shows engagement with the task and demonstrates in-depth
knowledge and understanding of ordinary least squares regression, its model equation,
70-79 estimation procedure, and significance testing with discussion of real-world implications. High
presentation standard, rigorous analysis employed and properly evidenced with relevant
materials.
An outstanding attempt showing continuous engagement with the task and demonstrating in-
depth knowledge and understanding of ordinary least squares regression, its model equation,
80-89 estimation procedure, and significance testing with in-depth discussion of real-world
implications. Very high presentation standard, rigorous analysis employed and properly
evidenced with relevant materials.
An attempt that would be of a standard of a professional econometrician. An exceptionally
90-100 researched and analysed piece of work. Exemplary standard of presentation, in-depth and
rigorous analysis, very professional.

Section B:

Grade Description
0-9 No real attempt made.
Demonstrates extremely poor understanding of the Gauss-Markov assumptions, their
10-19 implications for result validity, and relevant diagnostic tests. Supporting evidence of
calculations and analysis may be entirely missing or have significant omissions.
A poor attempt showing little understanding of the Gauss-Markov assumptions, their
20-29 implications for result validity, and relevant diagnostic tests. Supporting evidence of
calculations and analysis may have material omissions.
A fair attempt that is however showing substantial limitations in of the Gauss-Markov
30-39 assumptions, their implications for result validity, and relevant diagnostic tests. Supporting
evidence of calculations and analysis may have omissions.
A reasonable attempt that shows some engagement with the assignment question and
demonstrates understanding of the Gauss-Markov assumptions, their implications for result
40-49
validity, and relevant diagnostic tests that is sufficient to pass. Supporting evidence of
calculations and analysis may be superficial or contain substantive errors.
A good attempt that shows engagement with the assignment question and demonstrates
50-59
necessary knowledge of the Gauss-Markov assumptions, their implications for result validity,
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Assessment Brief

and relevant diagnostic tests. However, the presentation is more descriptive than analytical.
Supporting evidence of calculations may contain errors.
A very good attempt that shows engagement with the task and demonstrates knowledge and
understanding of the Gauss-Markov assumptions, their implications for result validity, and
60-69 relevant diagnostic tests with some discussion of their implications for model validity. The
presentation could have been more consistently analytical rather than descriptive. Supporting
evidence of calculations may contain minor errors.
An excellent attempt that shows engagement with the task and demonstrates in-depth
knowledge and understanding of the Gauss-Markov assumptions, their implications for result
70-79 validity, and relevant diagnostic tests with discussion of their implications for model validity.
High presentation standard, rigorous analysis employed and properly evidenced with relevant
materials.
An outstanding attempt showing continuous engagement with the task and demonstrating in-
depth knowledge and understanding of the Gauss-Markov assumptions, their implications for
80-89 result validity, and relevant diagnostic tests with in-depth discussion of their implications for
model validity. Very high presentation standard, rigorous analysis employed and properly
evidenced with relevant materials.
An attempt that would be of a standard of a professional econometrician. An exceptionally
90-100 researched application of diagnostic tests with extremely insightful interpretations. Exemplary
standard of presentation, in-depth and rigorous analysis, very professional.

Section C:

Grade Description
0-9 No real attempt made.
Demonstrates extremely poor understanding of robustness checks, relevant tests, and
10-19 estimation techniques. Supporting evidence of calculations and analysis may be entirely
missing or have significant omissions.
A poor attempt showing little understanding of robustness checks, relevant tests, and
20-29 estimation techniques. Supporting evidence of calculations and analysis may have material
omissions.
A fair attempt that is however showing substantial limitations in understanding of robustness
30-39 checks, relevant tests, and estimation techniques. Supporting evidence of calculations and
analysis may have omissions.
A reasonable attempt that shows some engagement with the task and demonstrates
40-49 understanding of robustness checks, relevant tests, and estimation techniques. Supporting
evidence of calculations and analysis may be superficial or contain substantive errors.
A good attempt that shows engagement with the task and demonstrates necessary knowledge
50-59 of robustness checks, relevant tests, and estimation techniques. However, the presentation is
more descriptive than analytical. Supporting evidence of calculations may contain errors.
A very good attempt that shows engagement with the task and demonstrates knowledge and
understanding of robustness checks, relevant tests, and estimation techniques with some
60-69
discussion and interpretation. The presentation could have been more consistently analytical
rather than descriptive. Supporting evidence of calculations may contain minor errors.
An excellent attempt that shows engagement with the task and demonstrates in-depth
knowledge and understanding of robustness checks, relevant tests, and estimation techniques
70-79
with discussion and interpretation. High presentation standard, rigorous analysis employed and
properly evidenced with relevant materials.
An outstanding attempt showing continuous engagement with the task and demonstrating in-
depth knowledge and understanding of robustness checks, relevant tests, and estimation
80-89
techniques with in-depth discussion and interpretation. Very high presentation standard,
rigorous analysis employed and properly evidenced with relevant materials.
An attempt that would be of a standard of a professional econometrician. An exceptionally
90-100 researched application of a robustness test with extremely insightful interpretations. Exemplary
standard of presentation, in-depth rigorous analysis, very professional.

ASSESSMENT REGULATIONS

You are advised to read the guidance for students regarding assessment policies. They are available online
here.
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Assessment Brief

Late submission of work

Where coursework is submitted without approval, after the published hand-in deadline, the following
penalties will apply.

For coursework submitted up to 1 working day (24 hours) after the published hand-in deadline without
approval, 10% of the total marks available for the assessment shall be deducted from the assessment
mark.

For clarity: a late piece of work that would have scored 65%, 55% or 45% had it been handed in on time will
be awarded 55%, 45% or 35% respectively as 10% of the total available marks will have been deducted.

Coursework submitted more than 1 day (24 hours) after the published hand-in deadline without approval
will be marked as zero but will be eligible for referral. The reassessment should where appropriate, and as
determined by the Module Leader, be the same method and the same task as indicated in the Module
handbook.

In modules where there is more than one assessment component, Students are not required to complete all
assessment components if an overall Pass Mark (40%) has been achieved.

In modules, where there is more than one assessment component and an overall pass mark has not been
achieved, Students will be eligible for a referral* in the individual failed module and/or not attempted
component(s) of assessment.

These provisions apply to all assessments, including those assessed on a Pass/Fail basis.

The full policy can be found here.

Word limits and penalties

If the assignment is within +10% of the stated word limit no penalty will apply. For this assignment, it implies if
the declared word count of the work is not higher than 2,200 words (2,000 words + 10%), no penalty applies.

The word count is to be declared on the front page of your assignment and the assignment cover sheet. The
word count does not include tables, charts, appendices, footnotes, tables, and the reference list. Please
note, in text citations [e.g., (Smith, 2011)] and direct secondary quotations [e.g., “dib-dab nonsense analysis”
(Smith, 2011 p.123)] are INCLUDED in the word count.

If this word count is falsified, students are reminded that under ARTA this will be regarded as academic
misconduct.

If the word limit of the full assignment exceeds the +10% limit, 10% of the mark provisionally awarded to the
assignment will be deducted. For example: if the assignment is worth 70 marks but is above the word limit by
more than 10%, a penalty of 7 marks will be imposed, giving a final mark of 63.

Students must retain an electronic copy of this assignment (including ALL appendices) and it must be
made available within 24 hours of them requesting it be submitted.

Academic Misconduct

The Assessment Regulations for Taught Awards (ARTA) contain the Regulations and procedures
applying to cheating, plagiarism and other forms of academic misconduct.

The full policy is available at here

You are reminded that plagiarism, collusion and other forms of academic misconduct as referred to in the
Academic Misconduct procedure of the assessment regulations are taken very seriously. Assignments in
which evidence of plagiarism or other forms of academic misconduct is found may receive a mark of zero.

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