EC443 One Unit
Econometrics for MRes students
This information is for the 2025/26 session.
Course Convenor
Prof Taisuke Otsu
Prof Steve Pischke
Dr Jasmine Wang
Availability
This course is compulsory on the MRes in Finance. This course is available on the MRes in Economics, MRes in Economics and Management and MRes in Management (Marketing). This course is not available as an outside option to students on other programmes. This course uses controlled access as part of the course selection process.
For queries contact: econ.mres.phd@lse.ac.uk
Requisites
Additional requisites:
Students should have completed an undergraduate level course in econometrics and statistical theory. Linear algebra and multivariate calculus will be used frequently.
Course content
The first part of the course begins with a review of linear regression analysis. It proceeds with discussions on linear instrumental variable (IV) regression, generalised method of moments (GMM), panel data analysis, nonparametric methods, and treatment effect analysis. Then it discusses estimation and inference on general nonlinear models including various limited dependent variable models and panel data analysis. It also covers basics of time series analysis and additional topics, such as bootstrap, casual inference, quantile regression, and machine learning.
The second part of the course focuses on programme evaluation methods frequently used in applied microeconomics. It discusses issues arising in regression control, instrumental variables, differences-in-differences and fixed effects methods, regression discontinuity designs, and statistical inference. Throughout, the discussions are supported by many empirical applications.
Teaching
60 hours of lectures and 30 hours of classes.
Attendance at lectures and classes is compulsory. We may run a lecture/seminar in ST week 1.
Formative assessment
Compulsory exercises are set for each class. A mock exam will take place in early WT.
Indicative reading
Course material will be made available through the course Moodle page. Please note there is no set book for this course.
Recommended books are:
- J. M. Wooldridge, Econometric Analysis of Cross Section and Panel Data, 2010
- B. Hansen, Econometrics, 2022
- J. Angrist and J. S. Pischke, Mostly Harmless Econometrics, 2009
- F. Hayashi, Econometrics, 2000
- T Amemiya, Advanced Econometrics, Harvard University Press, 1985.
Assessment
Exam (65%), duration: 120 Minutes, reading time: 15 minutes in the Spring exam period
Continuous assessment (35%)
Key facts
Department: Economics
Course Study Period: Autumn, Winter and Spring Term
Unit value: One unit
FHEQ Level: Level 7
CEFR Level: Null
Total students 2024/25: 27
Average class size 2024/25: 14
Controlled access 2024/25: YesCourse selection videos
Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.