Programmes

Introduction to Econometrics

  • Summer schools
  • Department of Economics
  • Application code SS-EC212
  • Starting 2019
  • Short course: Open
  • Location: London

Everyone agrees that evidence-based policy is likely to be more constructive and effective than that based on dogma or fancy.

The problem, for those concerned with social or economic policy, is that we seldom have the luxury of being able to undertake controlled experiments of the type conducted by natural scientists. Instead, we have to draw our inferences from the analysis of non-experimental data, and that is the function of econometrics.

This introductory course is intended to serve two constituencies:

Professionals: Each year the course is attended by many professionals who have found that the acquisition of econometric skills would be valuable in their work. Included in this category are PhD students, typically in disciplines other than economics, who are including a serious empirical component in their dissertations.

Undergraduate students: Many participants are college students from other universities. Those from the US ought to be able to negotiate credit worth at least one semester since the teaching is at the same standard as that for EC220, the regular-year LSE course taken by economics majors, and the course is distinctly more ambitious in both coverage and depth than the typical one-semester introductory econometrics course in the US.


Session: One
Dates: 17 June – 5 July 2019
Lecturers: Dr Marcia Schafgans and Professor Taisuke Otsu


Session: Three
Dates: 29 July – 16 August 2019
Lecturer: Dr Tatiana Komarova and Professor Taisuke Otsu

(Due to popularity, this course is repeated and can be taken in either of the sessions outlined above.)


 

Programme details

Key facts

Level: 200 level. Read more information on levels in our FAQs

Fees:  Please see Fees and payments

Lectures: 36 hours 

Classes: 18 hours

Assessment*: Two written examinations and one computer-based exercise

Typical credit**: 3-4 credits (US) 7.5 ECTS points (EU)


*Assessment is optional

**You will need to check with your home institution

For more information on exams and credit, read Teaching and assessment

Prerequisites

At least one semester of mathematical statistics with a serious analytical treatment of estimation and inference, and at least one semester of multivariate calculus, both passed at a respectable standard.

Programme structure

  • Simple Regression Analysis
  • Properties of Regression Coefficients and Hypothesis Testing
  • Multiple Regression Analysis
  • Transformation of Variables
  • Specification of Regression Variables
  • Heteroscedasticity
  • Stochastic Regressors and Measurement Errors
  • Simultaneous Equations Estimation
  • Modelling Dynamic Processes
  • Autocorrelation
  • Logit and Probit (binary choice models)

Course outcomes

The objective of this course is to provide the basic knowledge of econometrics that is essential equipment for any serious economist or social scientist, to a level where the participant would be competent to continue with the study of the subject in a graduate programme. 

While the course is ambitious in terms of its coverage of technical topics, equal importance is attached to the development of an intuitive understanding of the material that will allow these skills to be utilised effectively and creatively, and to give participants the foundation for understanding specialized applications through self-study with confidence when needed.

Teaching

The LSE Department of Economics is one of the biggest and best in the world, with expertise across the full spectrum of mainstream economics. A long-standing commitment to remaining at the cutting edge of developments in the field has ensured the lasting impact of its work on the discipline as a whole. Almost every major intellectual development within Economics over the past fifty years has had input from members of the department, which counts ten Nobel Prize winners among its current and former staff and students. Alumni are employed in a wide range of national and international organisations, in government, international institutions, business and finance.

The Department of Economics is a leading research department, consistently ranked in the top 20 economics departments worldwide. This is reflected in the 2014 Research Assessment Exercise which recognised the Department's outstanding contribution to the field. According to the REF 2014 results, 56 per cent of the Department’s research output was graded 4 star (the highest category), indicating that it is 'world-leading'. A further 33 per cent was designated 'internationally excellent' (3 star).

On this three week intensive programme, you will engage with and learn from full-time lecturers from the LSE’s economics faculty.

Reading materials

Wooldridge, J.M, Introductory Econometrics: A Modern Approach  (International Edition,2013)

*A more detailed reading list will be supplied prior to the start of the programme

**Course content, faculty and dates may be subject to change without prior notice

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