Dr Myunghwan Seo 32L4.26 and Dr Tatiana Komarova 32L4.24

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.

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).

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.

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.

Written answers to set problems will be expected on a weekly basis.

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.

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

The paper contains eight questions, of which four are to be answered.