**Major:** BCom (Hons) – Econometrics Specialisation **First Year Subjects:**One 12-credit point research unit:

ETC4860 – Honours Research Project

The core coursework units are included as follows:

ETC4420 – Microeconometrics

ETC4541 – Bayesian Inference and Data Analysis

ETC4400 – Statistical Theory and Practice

ETC4410 – Macroeconometrics

ETC4460 – Financial Econometrics 2

Other elective coursework units are included as follows:

ETC4110 – Actuarial Practice 1

ETC4120 – Actuarial Practice 2

ETC5250 – Introduction to Machine Learning

ETC5512 – Wild-caught Data

ETC5521 – Exploratory Data Analysis

ETC5580 – Advanced Statistical Modelling

ETF5500 – High Dimensional Data Analysis

It is usually required for single specialisation students (in econometrics) to complete at least 4 coursework units from the Business School, with other electives approved by both the honours coordinator and the chief examiner of specific units. Joint specialisation (e.g. with economics or actuarial) students get to do 3 units each from of their specific specialisation.

**Year of completion:** 2021

**Rating:** 5 out of 5

**Comments:****Background of the Major:**The econometrics honours year expands upon what you would’ve done in undergrad (see my review

here), and adds a whole lot of detail to the material taught in undergrad to a point where you are equipped with advanced econometrics/quantitative skills to strive in the workplace, the ability to read and find gaps in the academic literature, and where econometrics stands in research within the social sciences.

At its current standing I think (just my 2c) econometrics can be divided into a few distinct specialisations of academic research. A lot of them are interwoven, and definitely has a lot of overlap with adjacent fields, such as economics, statistics, machine learning, etc.:

1. Micro/applied-type econometrics: Encompasses many of the applied problems you would’ve seen in ETC2410/3410/3550, where data points come from individual people, businesses, etc. Main research output has been focused on dealing with imperfect data, research/experimental design within an economics setting, and identification issues as a result of microeconomic phenomena (keywords include set identification, discontinuity design, etc.). Research here is applied to quite a few consulting/competition roles, and public policy related to specific communities.

2. Macro/time-series econometrics: Encompasses problems you see in ETC3450, or to a lesser extent ETC3550. Data points obtained here are usually indexed by time, and/or aggregated to some extent (e.g. GDP of a country, monthly unemployment, and more). Main research output include VAR and DSGE models, forecasting and assessing causal relationships between aggregate variables effectively, finding out effects of broad policies by central banking agencies, and more. I would say this is more theoretical and hard to grasp compared to 1..

3. Financial econometrics: Encompasses problems you see in ETC3460, or the financial maths major in the maths/stats department. Main concerns are tradeable/non-tradeable assets, interest rates, and more. Main research output include stochastic calculus in mathematical finance, derivative pricing, assessing market indices, and ties well with macroeconometrics.

4. Bayesian econometrics: This is basically 1., 2., and 3. with a separate theoretical paradigm. It is an emerging field of research, where its main research output includes applications and computational matters related to the econometric models we see in 1., 2., and 3.. Quite cool and interesting, and has been quite effective in improving econometric methods from what I can see.

5. Econometric theory: Mainly assesses theoretical properties of estimators, not too well-versed in this area but items to look at include statistical theory, unbiasedness, efficiency, etc..

**Personal Experiences:** This is a very good specialisation I feel, and I’ve benefitted more from this year than my entire undergraduate degree. I chose this specialisation instead of doing a joint with actuarial because I wanted to learn things I couldn’t get from the workplace (especially very academic-centric topics in econometrics and financial mathematics), and I felt that the econometrics and maths units I’ve undertaken, alongside the research topic I’ve done really allowed me to absorb way more than what I’ve learnt in undergrad.

To do this as a pure specialisation is a bit stale to me, I think. If you want to maximise your experiences I would suggest doing electives from other departments (e.g. some students I know study engineering units, I’ve done maths, and these are challenging stuff that I think would be beneficial), just to have a good understanding of what the outside world feels like. Or you can take it up a notch to do a research project unrelated to econometrics, like something in actuarial or machine learning, which are also offered under the ETC4860 umbrella.

**Where I hope this would take me/where it has taken me:**The job prospects for honours graduates are quite good in Australia specifically, it’s kinda like a signal for advanced knowledge and research expertise for many industry jobs. A masters degree would be more useful for work abroad, e.g. in the Asia Pacific from what I’ve seen. Most of the students I know in EBS have offers within the first semester, which is pretty nice, and I definitely felt that this extra year has made me more confident in applying for jobs and stuff, so that’s a plus.

I guess econometrics is applicable to quantitative roles anywhere, and students generally go separate ways in government and consulting mainly (+ to a lesser extent specific business like insurance/financial services). Getting first-class is very much a pass to most PhD scholarships locally, and offers an opportunity to fast track and complete a PhD, which is quite sweet, but obviously is not sufficient for universities abroad (afaik European unis want masters degrees, and US degrees are way harder to enter, with more prestige of course).