This course will present an advanced treatment of econometric principles for cross-sectional, panel and time-series data sets. While concentrating on linear models, some non-linear cases will also be discussed, notably limited dependent variable models and generalised methods of moments.
The course focuses on modern econometric techniques, addressing both technical derivations and practical applications. Applications in the areas of microeconomics, macroeconomics and finance will be considered.
The topics covered will include.
Principles of Estimation (Ordinary Least Squares, Generalized Least Squares and Maximum Likelihood Estimation with Micro-Econometric applications)
Principles of Testing (t- and F-test; Wald, Likelihood Ratio, Lagrange Multiplier Testing Principles).
Time Series: Basic Time Series Processes; Stationarity and Nonstationarity - Unit roots and Cointegration.
Endogeneity in linear regression models; Instruments; 2SLS estimator and Generalized IV estimator; Simultaneous equations.
Motivation, definition and asymptotic properties of GMM estimator; Efficient GMM estimation; Over-identifying restrictions.
Introduction to Panel Data Models: Fixed effect and random effect models.
Arellano-Bond estimator in dynamic panel data models.
Introduction to Quantile estimation.
World-class LSE teaching
The LSE Department of Economics is one of the biggest and best in the world, with expertise across the full spectrum of mainstream economics. A long-standing commitment to remaining at the cutting edge of developments in the field has ensured the lasting impact of its work on the discipline as a whole.
It is a leading research department, consistently ranked in the top 20 economics departments worldwide. This is reflected in the 2014 Research Assessment exercise which recognised the Department's outstanding contribution to the field
On this three week intensive programme, you will engage with and learn from full-time lecturers from the LSE’s economics faculty.
Though no single textbook covers all methods and applications to be discussed in the course, we will recommend the following textbooks primarily for reference or review:
M. Verbeek, Modern Econometrics, (3rd edition), Wiley (2008).
W.H. Greene, Econometric Analysis, (7th edition), Pearson Prentice Hall (2011).
*A more detailed reading list will be supplied prior to the start of the programme
**Course content, faculty and dates may be subject to change without prior notice