Dr M Schafgans, S583 and Dr T Komarova, S875

Compulsory for BSc Econometrics and Mathematical Economics. Optional for BSc Accounting and Finance, BSc Business Mathematics and Statistics, BSc Economics, BSc Economics and Economic History, BSc Economics with Economic History, BSc Mathematics and Economics, BSc Mathematics and Economics, BSc Philosophy and Economics and MSc Economics (Two Year Programme).

This course is an intermediate-level introduction to the theory and practice of econometrics.  A knowledge of linear algebra and calculus (eg previous attendance at Mathematical Methods) and of basic statistical theory (Elementary Statistical Theory) is required. Although the course does involve some computing no previous experience is required.

Statistical background; continuous distribution, sampling theory, estimation, hypothesis testing, asymptotic theory. The Linear Model; multiple regression, t-and F-tests, dummy variables, multicollinearity, linear restrictions, measurement errors, omitted variables. Maximum likelihood estimation and the Wald, Likelihood Ratio, and Lagrange Multiplier tests. Dynamic models, time series autoregressive models, seasonal adjustment, generalised least squares, serial correlation, heteroscedasticity, distributive lags, stationarity, unit roots and cointegration. Simultaneous equation systems, instrumental variables and two stage least squares. Panel data and limited dependent variable models.

Lectures EC221: 20 x two-hours MT and LT. Additional help lectures 20 x one-hour MT and LT.

Classes EC221.A: 20 Sessional.

Written answers to set problems will be expected on a weekly basis.

The main text for the course is G S Maddala, Introduction to Econometrics, John Wiley or C Heij et al, Econometric methods with Applications in Business and Economics, Oxford University Press.  Other useful texts include: W Greene, Econometric Analysis, Macmillan; J Johnston & J Dinardo, Econometric Methods, McGraw-Hill; D Gujarati, Basic Econometrics, McGraw-Hill; J Kmenta, Elements of Econometrics, Macmillan; M Stewart & K Wallis, Introductory Econometrics, Blackwell; J M Wooldridge, Introductory Econometrics: A Modern Approach, Thomson.

A three-hour written examination in the ST. The paper is in two sections, each containing four questions. Students need to answer two questions from each section.