EC484     
Econometric Analysis

This information is for the 2022/23 session.

Teacher responsible

Prof Javier Hidalgo 32L.4.20 and Prof Taisuke Otsu 32L.4.25

Availability

This course is compulsory on the MSc in Econometrics and Mathematical Economics. This course is available on the MRes/PhD in Economics, MRes/PhD in Economics and Management and MSc in Applicable Mathematics. 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 for MSc EME (EC451).

EC451 takes place prior to the start of Michaelmas Term, please contact econ.msc@lse.ac.uk for more information.

Course content

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.

Teaching

20 hours of lectures and 10 hours of seminars in the MT. 20 hours of lectures and 9 hours of seminars in the LT. 1 hour of seminars in the ST.

There will be a reading week in Week 6 of LT only (no lectures or classes that week).

This course is delivered through a combination of classes and lectures totalling a minimum of 60 hours across Michaelmas Term, Lent Term and Summer Term. 

Formative coursework

Two marked assignments per term.

Indicative reading

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.

Assessment

Exam (50%, duration: 2 hours, reading time: 15 minutes) in the January exam period.
Exam (50%, duration: 2 hours, reading time: 15 minutes) in the summer exam period.

Key facts

Department: Economics

Total students 2021/22: 32

Average class size 2021/22: 11

Controlled access 2021/22: Yes

Lecture capture used 2021/22: Yes (MT & LT)

Value: One Unit

Guidelines for interpreting course guide information

Course selection videos

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