EC484 One Unit
Econometric Analysis
This information is for the 2025/26 session.
Course Convenor
Prof Taisuke Otsu
Dr Jasmine Wang
Dr Vassilis Hajivassiliou
Availability
This course is compulsory on the MSc in Econometrics and Mathematical Economics. This course is available on the MRes in Economics, MRes in Economics and Management, MRes in Management (Marketing) and MSc in Mathematics and Computation. This course is available with permission as an outside option to students on other programmes where regulations permit. This course uses controlled access as part of the course selection process.
How to apply: This course is intended for MSc Econometrics and Mathematical Economics students. Any external student must have successfully completed EC451 in September and/or have approval of the Department of Economics.
Deadline for application: Please apply as soon as possible after the opening of course selection for all courses.
For queries contact: Econ.msc@lse.ac.uk
Requisites
Pre-requisites:
Students must have completed EC451 before taking this course.
Additional requisites:
EC451 takes place prior to the start of Autumn 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) Asymptotic theory, OLS theory, linear instrumental variable regression, linear generalised method of moments, quantile regression, nonparametric methods, bootstrap, general asymptotic theory, and nonlinear generalised method of moments.
Part (b) Maximum likelihood, limited dependent variables, causal inference, further advanced topics (e.g., machine learning, empirical process theory, Bayesian methods, and shrinkage methods)
Part ( c ) time series: single and multiple equation models under stationarity and non-stationarity Panel data: linear and nonlinear models.
Teaching
1 hours of seminars in the Spring Term.
20 hours of lectures and 9 hours of seminars in the Winter Term.
20 hours of lectures and 9 hours of seminars in the Autumn Term.
This course has a reading week in Week 6 of Autumn and Winter Term.
Formative assessment
Two marked assignments per term.
Indicative reading
Core reading will be from the following texts:
Hansen, Bruce. Probability and Statistics for Economists. Princeton University Press, 2022.
Hansen, Bruce. Econometrics. Princeton University Press. 2022
Assessment
Exam (50%), duration: 120 Minutes, reading time: 15 minutes in the January exam period
Exam (50%), duration: 120 Minutes, reading time: 15 minutes in the Spring exam period
This course is IRDAP-enabled, meaning that resit and deferred assessments will take place in August 2026.
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: 44
Average class size 2024/25: 15
Controlled access 2024/25: NoCourse selection videos
Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.