This information is for the 2012/13 session.
Dr V Hajivassiliou, STC. S564, Prof M Schankerman, R516, and Professor D Quah, 50L.M206.
The course is for MSc Economics, MSc Economics and Philosophy. Other graduates on MPA Public and Economic Policy/MPA Public Policy and Management/MPA International Development/MPA European Public and Economic Policy/MPA Public and Social Policy may attend with the permission of the MSc Economics programme Director. This will normally only be granted to students who have taken EC400 (Introductory Course in Mathematics and Statistics) held annually in September and achieved the required standard.
Students should have completed an undergraduate degree or equivalent in Economics and EC400 (Introductory course in Mathematics and Statistics).
The course aims to present and illustrate the techniques of empirical investigation in economics.
1. Regression models with fixed regressors (simple and multiple). Least squares and other estimation methods. Goodness of fit and hypothesis testing.
2. Regression models with stochastic regressors.
3. Asymptotic Theory and its application to the regression model.
4. The partitioned regression model, multicollinearity, misspecification, omitted and added variables.
5. Heteroskedasticity and Generalized Least Squares.
6. Measurement Errors and Instrumental Variables.
7. An example of the omitted variable problem. The omission of ability in the determination of the rate of return of schooling.
8. Estimating causal effects in panel data: Diff-in Diff estimator
9. Panel data and static models: fixed and random effect estimators, specification tests, measurement error
10. Panel data and dynamic models: Arellano-Bond estimator, generalised method of moments
11. Regression with Autocorrelated Disturbances
12. Unit Roots and Cointegration
13. Vector Autoregression
Lectures EC402: Lectures 20 hours MT and 25 hours LT.
Classes EC402.A: 20 Sessional.
Exercises are provided each week and are discussed in classes. In order to have any chance of completing the course successfully, these exercises must be attempted. Special test exercises will be set at three points during the year. These will be carefully marked and the results made available.
J Johnston & J diNardo, Econometric Methods (4th edn) or W H Greene, Econometric Analysis (6th edn), James D. Hamilton, Time Series Analysis (1994), J Wooldridge, Econometric Analysis of Cross Section and Panel Data (2002), J Angrist and J Pischke, Mostly Harmless Econometrics (2009)
A three-hour written examination in the ST (100%).