EC309     
Econometric Theory

This information is for the 2015/16 session.

Teacher responsible

Dr Tatiana Komarova 32L4.24 and Prof Francisco Hidalgo 32L4.20

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 and to General Course students.

Pre-requisites

Students must have completed Principles of Econometrics (EC221).

A good knowledge of linear algebra, calculus and statistical theory is essential, and therefore MA100 and ST102 or equivalent is required. Students taking this course who are not in BSc Econometrics and Mathematical Economics or BSc Mathematics and Economics must consult with Dr. Komarova before selecting this course

Course content

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 10 hours of classes in the MT. 15 hours of lectures and 10 hours of classes in the LT.

Two hours of revision lectures will be held in week 11 of both MT and LT

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.

Key facts

Department: Economics

Total students 2014/15: 14

Average class size 2014/15: 15

Capped 2014/15: No

Value: One Unit

Guidelines for interpreting course guide information

PDAM skills

  • Self-management
  • Problem solving
  • Application of numeracy skills