EC337      Half Unit
Econometric Theory B

This information is for the 2025/26 session.

Course Convenor

Availability

Requisites

Pre-requisites:

Before taking this course, students must have completed: MA100 and (ST109 or ST102) and EC1C1 and (EC2C1 or (EC2C3 and EC2C4))

Additional requisites:

A good knowledge of linear algebra, calculus and statistical theory is essential, so Mathematical Methods (MA100) and either Elementary Statistical Theory (ST102) or Elementary Statistical Theory I (ST109) in combination with Econometrics I (EC1C1), or equivalent.

Students should have also completed either Econometrics II (EC2C1) or have a strong performance in Econometrics I (EC2C3) and Econometrics II (EC2C4), or equivalent.

Students seeking permission to take this course as an outside option should consult with Professor Hidalgo before selecting this course.

This methodology course covers general data environments (time series, panel data and clustered data) and various models (dynamic, non-linear, simultaneous equations etc), broadening knowledge and understanding of topics explored in the Year 2 econometrics sequence.

Topics covered: method of moments and GMM (general); generalized least squares (heteroskedasticity and autocorrelation); dynamic model and time series analysis; system of equations and simultaneous equations; panel data analysis; hypothesis testing: general principle and applications; bootstrap; unit root and cointegration.

1 hours of classes in the Spring Term.
15 hours of lectures and 9 hours of classes in the Winter Term.

This course has a reading week in Week 6 of Winter Term.

Students are expected to engage with problems on a weekly basis and to make positive contributions to class discussions. Students will receive feedback on two problem sets during the term.

Core reading will be from the following texts:

• Davidson, Russell, and James G. MacKinnon. Econometric theory and methods. Vol. 5. New York: Oxford University Press, 2004.
• Harvey, Andrew C. The econometric analysis of time series. MIT Press, 1990.

Exam (100%), duration: 120 Minutes, reading time: 15 minutes in the Spring exam period