This information is for the 2020/21 session.
Prof Javier Hidalgo 32L.4.20 and Prof Taisuke Otsu 32L.4.25
This course is compulsory on the MSc in Econometrics and Mathematical Economics. This course is available on the MRes/PhD in Economics and MSc in Applicable Mathematics. This course is available with permission as an outside option to students on other programmes where regulations permit.
Students must have completed Introductory Course for MSc EME (EC451).
EC451 takes place prior to the start of Michaelmas Term, please contact firstname.lastname@example.org for more information.
This course gives an advanced treatment of the theory of estimation and inference for econometric models.
Part (a) Background; asymptotic statistical theory: modes of convergence, asymptotic unbiasedness, uniform integrability, stochastic orders of magnitude, convergence in distribution, central limit theorems, applications to linear regression, extensions to time series, consistency and asymptotic distribution of implicitly defined extremum estimators.
Part (b) General asymptotic theorems, nonlinear regression, quantile regression, nonparametric methods (kernel and series methods), generalized method of moments, conditional moment restriction, many and weak instruments, limited dependent variables, treatment effect, bootstrap, and time series.
20 hours of lectures and 10 hours of seminars in the MT. 20 hours of lectures and 10 hours of seminars in the LT.
This year at least for Michaelmas Term, some or all of this teaching may have to be delivered through a combination of virtual webinars, online videos, and virtual classes.
Two marked assignments per term.
No one book covers the entire syllabus; a list of references will be provided at the start of the course, and lecture notes and relevant articles will be circulated.
Exam (50%, duration: 2 hours) in the January exam period.
Exam (50%, duration: 2 hours) in the summer exam period.
Important information in response to COVID-19
Please note that during 2020/21 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the situation of students in attendance on campus and those studying online during the early part of the academic year. For assessment, this may involve changes to mode of delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.
Total students 2019/20: 43
Average class size 2019/20: 15
Controlled access 2019/20: Yes
Value: One Unit