Collage of Business & Law

ACADEMIC YEAR 2022/23

Assessment Brief
Submission and feedback dates
Submission deadline: Before 14:00 on 11 December 2022
The coursework is eligible for 5 calendar day late submission
window
Marks and Feedback due on: 9 February 2023
N.B. all times are 24-hour clock, current local time (at time of submission) in the UK

Submission details
Module title and code: Quantitative Research Methods UMADBK-15-M

Component and type: Component B (CW1)

Assessment title: Assignment

Assessment weighting: 60% of total module mark
Size or length of assessment: 2000 words
Maximum word count (no +/- 10% to be used)
Module learning outcomes assessed by this task:
MO1: Engage in basic quantitative and qualitative research
MO2: Appreciate, compare and contrast the key techniques of qualitative and quantitative
analysis
MO3: Understand and critically evaluate the relationship between theory, research
approach and method
MO5: Employ and critically appraise a limited range of statistical and econometric research
technique
MO8: Perform basic statistical and econometric analyses using standard statistical packages
MO10: Explore and analyse financial data within a statistical package

1
Completing your assessment

What am I required to do on this assessment?

This assessment requires students to use financial data and carry out relevant quantitative
analyses and discuss the outputs in the quantitative analysis report (2000 words). Follow the
instructions at the end of this document for the requirements for this assignment.
Instructions for submission
You must submit your assignment before the stated deadline by electronic submission
through Blackboard. Notification that the electronic submission portal is open for your
assignment is displayed (usually two weeks before the submission date) in the Coursework
tab in myUWE, the Coursework tab in Blackboard and via an announcement in the
Blackboard course.
Please allow sufficient time to upload your assignment, as the system becomes busier and
slower as the deadline approaches. Only your final upload will be counted. Ensure all your
information is submitted at one attempt to avoid overwriting your intended submission.
Always check and retain your receipts.
For full guidance on online submission through Blackboard, see UWE’s Academic Advice
pages on Assignments.
Submissions of coursework by any other method (including a paper copy, on disk or by
email) are NOT permissible for this module unless specifically agreed in advance of the
submission date.

Before submitting your work, please ensure that:

• You have proof-read you work thoroughly to ensure your work is presented
appropriately

• You have addressed all the required elements of the assessment

• You have referenced in accordance with the guidance provided

• You have addressed each of the marking criterion

• The submission is in the correct format

2
Where should I start?
The assignment requires you to produce a quantitative report covering TWO tasks from four
topics listed below:
1. Multiple regression
2. Stationary and non-stationary time series analysis
3. Volatility modelling
4. Panel data analysis
The full report should not exceed 2000 words excluding references and appendix. Please
answer two questions out of four, starting on page 7 of this document.

Further information about this assessment is available on the Blackboard site for this
module and includes:
● Guidance documents
● Module handbook
● Required Data sets in Excel format

Formatting
Please use the following file format(s): Word and PDF. We cannot ensure that other formats
are compatible with markers’ software and cannot guarantee to mark incorrect formats.
All work should be word processed in 12-point font Times New Roman or Arial and single
spaced.
The first page of your coursework must include:
● Your student number
● The module name and number
● Your word count
● The coursework question
How do I achieve high marks in this assessment?
High marks can be obtained by reflecting a good understanding of econometric techniques
in the answer to the questions, by offering the right steps in the econometric analysis and by
providing a relevant analysis to the empirical results. More specifically, the following table
gives a breakdown of the weights given to each element of your essay.

Element weight mark comment

Econometric model: statement of the econometric model(s) in 15%

formulae and brief explanation of the variables

3
 Hypothesis construction: statement of the hypotheses in analytical 10%
terms

Descriptive statistics: calculations of main descriptive statistics with 10%

short description

Relevant quantitative analysis: this includes quantitative analysis 60%

and discussion of results (including the unit root test and
cointegration test for the non stationary / stationary time series
question and including the diagnostic checks)

Conclusions and layout: a short conclusion 5%

Total mark Overall

comment

The above weighting will be applied to each of the two questions answered. The final mark
will be the average of the two individual marks. A short feedback will be provided.

Marking Criteria
The following criteria will be used in evaluating this assessment:
As an aid to the overall ‘feel’ of the proposal, you may like to use the following in order to
note the key points that should be covered, and according to the following scale:

A+ (85-100%) Outstanding Pass; A full, coherent and well-rounded submission showing

rigor, clarity and insights leading to elements of originality
A (70-84%) Distinctive Pass; A well-structured, relevant piece of work based an
understanding of virtually all the important aspects with good reasoning
and insight expressed throughout that wholly supports the conclusions
or solutions.
B (60-69%) Meritorious Pass; A submission that is well focused on the task, showing
a good grasp of the subject and based on most of the important aspects
being well integrated into the work with reasoned outcomes.
C (50-59%) Pass; Good work at M level –A submission which demonstrates
achievement against all learning outcomes but with some limitations
D (45-49%) Marginal fail; Some of the relevant material is identified and there is
some indication of an appreciation of the subject matter but does not
demonstrate that all learning outcomes have been met
E (0-44%) Fail; Contains significant flaws, few of the learning outcomes for the
module have been demonstrated

How does the learning and teaching relate to the assessment?

● The lectures and the workshops provide the contents that will help you to develop the
skills and knowledge needed to answer the two questions in this assignment. The lecture

4
 materials, and the examples you worked on during this module will also equip you to
provide appropriate analysis and relevant discussion of results.

What additional resources may help me complete this assessment?

● Reading Eviews guide and/or other appropriate software such as STATA or RATS.
● Consulting a number of empirical papers where similar work to your chosen
questions has been carried out.

What do I do if I am concerned about completing this assessment?

UWE Bristol offer a range of Assessment Support Options that you can explore through this
link, and both Academic Support Health and wellbeing
For further information, please see the Academic Survival Guide.

Marks and Feedback

Students will be given a detailed written report on their essay. The report would highlight
the points of strength and relevant contributions, but will also indicate the weaker points
and propose suggestions as to how to improve the discussion and/or argument.
Your assessment will be marked according to the above marking criteria. You can use these
to evaluate your own work before you submit.

Referencing and Assessment Offences

1. In line with UWE Bristol’s Assessment Content Limit Policy (formerly the Word Count
Policy), word count includes all text, including (but not limited to): the main body of
text (including headings), all citations (both in and out of brackets), text boxes, tables
and graphs, figures and diagrams, quotes, lists.
2. UWE Bristol’s UWE’s Assessment Offences Policy requires that you submit work that
is entirely your own and reflects your own learning, so it is important to:
● Ensure you reference all sources used, using the UWE Harvard system and
the guidance available on UWE’s Study Skills referencing pages.
● Avoid copying and pasting any work into this assessment, including your own
previous assessments, work from other students or internet sources
● Develop your own style, arguments and wording, so avoid copying sources
and changing individual words but keeping, essentially, the same sentences
and/or structures from other sources
● Never give your work to others who may copy it

5
 ● If an individual assessment, develop your own work and preparation, and do
not allow anyone to make amends on your work (including proof-readers,
who may highlight issues but not edit the work) and
When submitting your work, you will be required to confirm that the work is your
own, and text-matching software and other methods are routinely used to check
submissions against other submissions to the university and internet sources. Details
of what constitutes plagiarism and how to avoid it can be found on UWE’s Study
Skills pages about avoiding plagiarism.
PLEASE ANSWER TWO QUESTIONS ONLY

Q1. Multiple regression: Determinants of wages

Use multiple regression model to determine which factors explain wages. Preliminary study
finds that age is a factor that determines wage. The other three variables considered are
years of education (EDUC), years of apprentice trainings in firms (training1) and a different
measure for the apprentice trainings (training2).

Data: The file “mult_reg.xlsx” available on Blackboard in the Assignment folder contains all
data required for this question.

Research Question:
1. Is age a determinant of income?
2. Is apprentice training more efficient than education in raising the level of wages?

Econometric model:
Please state your econometric model with appropriate assumptions.

Hypothesis testing
Please state the hypotheses you are testing and the rationale for these

Basic statistics:
Please provide the following information in an appropriate table and explain their
implications.
Mean, standard deviation, skewness, kurtosis, Jarque-Bera normality test

Model estimates:
Run regressions and report your findings. Please put your t-stats in brackets and indicate
significance with *, **, *** for significance at 10%, 5% and 1% respectively.

Diagnostic tests:
Please discuss whether the following tests are doable in your context, and explain their
implications if relevant.
1. Auto-correlation test

6
 2. Collinearity check

Conclusion:
Q2. Time Series Analysis of Price and Earnings
You are given time series of price (lnP) and earnings (lnE), and you would like to analyse the
value relevance of earnings. Specifically, you are first required to determine if the time
series are stationary or integrated with order one, and in the latter case if they are co-
integrated. Then, dependent on the outcome of the above analyses, an appropriate
autoregressive distributed lag (ARDL) model or ECM is to be fitted.

Data: The file “timeseries.xlsx” available on Blackboard in the Assignment folder contains all
data required for this question.

Research Question: Can change in price be explained by earnings?

Preliminary tests:
1. Test for presence of unit root
2. Test for cointegration

Econometric model:
The econometric model will depend on the outcome of unit root tests and cointegration
test.

Hypotheses testing
Test for significance of relevant coefficients, i.e. the coefficient of change in earnings and (if
appropriate) the coefficient of error from the cointegrating relationship.

Basic statistics:
Mean, standard deviation, skewness, kurtosis, Jarque-Bera normality test

Model estimates (t-stats in brackets):

Which is the best model?

Diagnostic tests:
Auto-correlation test

Conclusion:

Q3. GARCH models

You are given a financial time series of returns on a stock (RET). You would like to use a
GARCH-in-mean model to investigate whether there exists a time-varying risk premium.

7
Data: The file “garch.xlsx” available on Blackboard in the Assignment folder contains all
data required for this question.

Research Question:
- Does higher volatility result in higher expected return?
- Is there a leverage effect?

Econometric model:
State your econometric model with appropriate assumptions

Hypothesis
State your hypothesis

Basic statistics:
Provide the following descriptive information in a suitable table
Mean, standard deviation, skewness, and kurtosis.
Normality test

Estimate the models and report your findings

Which is the chosen model and why?

Suggest a suitable model and justify this choice

Diagnostic test on residuals:

(1) normality;
(2) standardized residuals correlogram test;
(3) Squared standardized residuals correlogram test.

Conclusion:
Q4: Panel data analysis on the determinants of bank profitability.
You would like to find out about the determinants of bank profitability. Where profitability
is proxied by (i) return on average asset (ROAA), and (ii) return on average equity (ROAE).
The literature suggest that profitability could be influenced by bank capital strength (CAP),
credit risk (CR), operating cost (CM), asset quality (AQ) and liquidity (LQ). You are given a
panel of N banks each with T years of the explanatory variables. Use pooled, fixed effect and
random effect models to analyse the data and undertake a Hausman test. You may wish to
discuss why net interest margin (NIM) and total assets (TA) may or may not be appropriate
explanatory variables.
Data: The file “bank-panel.xlsx” available on Blackboard in the Assignment folder contains
all data required for this question.

8
Research Question: What are the factors that affect bank profitability?

Econometric model:
State your econometric model with appropriate assumptions

Hypothesis
State the hypotheses you will be testing and why?

Provide the following descriptive statistics in a suitable table.

Mean, standard deviation, skewness, kurtosis, Normality test
Estimate the following models:
1. Pooled OLS
2. Panel FE Estimates
3. Panel RE Estimates

Report both standard and HAC t-stats

Do the Hausman’s test and discuss its implications.

Conclusion