Econometric Theory

This information is for the 2021/22 session.

Teacher responsible

Prof Taisuke Otsu 32L 4.25

Prof Javier Hidalgo  32L.4.20


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.


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 Prof. Otsu before selecting this course

Course content

Introduction to asymptotic theory; Method of moments; Hypothesis testing and confidence intervals; Asymptotic theory for linear OLS, instrumental variables, and generalized method of moments (GMM) estimators; Nonparametric density estimation and regression; General large sample theory; Estimation and inference of nonlinear models (Maximum likelihood, Nonlinear Least Squares, GMM); General hypothesis testing and model specification; Systems of equations; Time series analysis and dynamic models.


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

This course is delivered through a combination of classes and lectures totalling a minimum of 50 hours across Michaelmas Term and Lent Term. This year, some or all of this teaching will be delivered through a combination of virtual classes, live streamed (recorded) lectures, and some flipped content delivered as short online videos.

Formative coursework

Written answers to set problems will be expected on a weekly basis. Students are also expected to make positive contributions to class discussions.

Indicative reading

The main texts for the lectures are Bruce Hansen’s lecture notes (downloadable at for MT, and Davidson & MacKinnon (2004) Econometric Theory and Methods, Oxford University Press for LT. Other useful texts include Davidson (2000) Econometric Theory, Amemiya (1985) Advanced Econometrics, and Hayashi (2000) Econometrics.


Exam (100%, duration: 3 hours, reading time: 15 minutes) in the summer exam period.

Course selection videos

Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.

Important information in response to COVID-19

Please note that during 2021/22 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 differing needs of students in attendance on campus and those who might be studying online. For example, this may involve changes to the mode of teaching 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.

Key facts

Department: Economics

Total students 2020/21: 12

Average class size 2020/21: 8

Capped 2020/21: No

Value: One Unit

Guidelines for interpreting course guide information

Personal development skills

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