EC402     
Econometrics

This information is for the 2015/16 session.

Teacher responsible

Dr Vassilis Hajivassiliou 32L.4.23, Prof Danny Quah TW1 10.01A and Prof Mark Schankerman 32L.4.30

Availability

This course is compulsory on the MSc in Economics, MSc in Economics (2 Year Programme) and MSc in Quantitative Economic History. This course is available on the MPA in European Public and Economic Policy, MPA in International Development, MPA in Public Policy and Management, MPA in Public and Economic Policy, MPA in Public and Social Policy, MPhil/PhD in Accounting and MSc in Economics and Philosophy. This course is available with permission as an outside option to students on other programmes where regulations permit.

Pre-requisites

Students must have completed Introductory Course in Mathematics and Statistics (EC400).

Students should have completed an undergraduate degree or equivalent in Economics and EC400 (Introductory course in Mathematics and Statistics).

Course content

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, measurement errors.

5. Heteroskedasticity, Autocorrelation, and Generalized Least Squares.

6. Exogeneity, Endogeneity, and Instrumental Variables.

7. Serial Correlation.

8. Vector Autoregression.

9. Unit roots and cointegration.

10. Estimating causal effects in panel data: Diff-in Diff estimator.

11. Panel data and static models: fixed and random effect estimators, specification tests, measurement error.

12. Panel data and dynamic models: Arellano-Bond estimator, generalized method of moments.

Teaching

30 hours of lectures and 10 hours of classes in the MT. 30 hours of lectures and 10 hours of classes in the LT.

Formative coursework

Two marked assignments per term. 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.

Indicative reading

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)

Assessment

Exam (100%, duration: 3 hours) in the main exam period.

Key facts

Department: Economics

Total students 2014/15: 151

Average class size 2014/15: 13

Controlled access 2014/15: Yes

Lecture capture used 2014/15: Yes (MT & LT)

Value: One Unit

Guidelines for interpreting course guide information

Course survey results

(2011/12 - 2013/14 combined)

1 = "best" score, 5 = "worst" score

The scores below are average responses.

Response rate: 79.6%

Question

Average
response

Reading list (Q2.1)

2.6

Materials (Q2.3)

2.1

Course satisfied (Q2.4)

2

Lectures (Q2.5)

2

Integration (Q2.6)

2.7

Contact (Q2.7)

2.2

Feedback (Q2.8)

2.4

Recommend (Q2.9)

Yes

63.1%

Maybe

33.7%

No

3.2%