EC309
Econometric Theory
This information is for the 2013/14 session.
Teacher responsible
Dr Myunghwan Seo 32L4.26 and Dr Tatiana Komarova 32L4.24
Availability
This course is compulsory on the MSc in Econometrics and Mathematical Economics (2 Year Programme). This course is available on the BSc in Econometrics and Mathematical Economics and BSc in Mathematics and Economics. This course is available with permission as an outside option to students on other programmes where regulations permit. This course is available to General Course students.
Prerequisites
Students must have completed Principles of Econometrics (EC221).
A knowledge of linear algebra, calculus and statistical theory is required. Students should have taken the course Principles of Econometrics (or equivalent).
Course content
This course gives an introduction to the asymptotic theory of estimation and inference of economic models; Basics of large sample theory; Estimation of linear regression models (OLS, GMM, GLS); Testing hypotheses and model specifications; Estimation of nonlinear models (MLE, Nonlinear least squares); systems of equations; time series analysis.
Teaching
15 hours of lectures and 8 hours of classes in the MT. 15 hours of lectures and 10 hours of classes in the LT. 3 hours of classes in the ST.
Formative coursework
Written answers to set problems will be expected on a weekly basis.
Indicative reading
The main text for the lectures is R Davidson & J G MacKinnon, Econometric Theory and Methods,Oxford University Press (2004). Other useful texts include Davidson (2000), Econometric Theory Amemiya (1985), Advanced Econometrics; and Hayashi (2000), Econometrics.
Assessment
Exam (100%, duration: 3 hours) in the main exam period.
The paper contains eight questions, of which four are to be answered.
Key facts
Department: Economics
Total students 2012/13: 12
Average class size 2012/13: 12
Value: One Unit
PDAM skills
 Selfmanagement
 Problem solving
 Application of numeracy skills
Course survey results
(2010/11  2012/13 combined)
1 = "best" score, 5 = "worst" scoreThe scores below are average responses.
Response rate: 91.8%
Question 
Average  

Reading list (Q2.1) 
2.5  
Materials (Q2.3) 
1.9  
Course satisfied (Q2.4) 
2.2  
Lectures (Q2.5) 
2.1  
Integration (Q2.6) 
2  
Contact (Q2.7) 
2.1  
Feedback (Q2.8) 
2.4  
Recommend (Q2.9) 
