Programmes

Advanced Econometrics

  • Summer schools
  • Department of Economics
  • Application code SS-EC312
  • Starting 2019
  • Short course: Open
  • Location: London

This course will present an advanced treatment of econometric principles for cross-sectional, panel and time-series data sets.

While concentrating on linear models, some non-linear cases will also be discussed, notably limited dependent variable models and generalised methods of moments.

The course focuses on modern econometric techniques, addressing both technical derivations and practical applications. Applications in the areas of microeconomics, macroeconomics and finance will be considered.


Session: Three
Dates: 29 July – 16 August 2019
Lecturers: Dr Marcia Schafgans and Dr Tatiana Komarova


 

Programme details

Key facts

Level: 300 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

Students should have taken EC212 Introduction to Econometrics or an equivalent undergraduate course in econometrics. With EC312 being considerably more advanced technically than EC212, a good working knowledge of multivariate calculus and linear algebra will be required as well.

Programme structure

Main Regression

  • Principles of Estimation (Ordinary Least Squares, Generalized Least Squares and Maximum Likelihood Estimation with Micro-Econometric applications)
  • Principles of Testing (t- and F-test; Wald, Likelihood Ratio, Lagrange Multiplier Testing Principles).
  • Time Series: Basic Time Series Processes; Stationarity and Nonstationarity - Unit roots and Cointegration.

Estimation Methodology

  • Endogeneity in linear regression models; Instruments; 2SLS estimator and Generalized IV estimator; Simultaneous equations.
  • Motivation, definition and asymptotic properties of GMM estimator; Efficient GMM estimation; Over-identifying restrictions.
  • Introduction to Panel Data Models: Fixed effect and random effect models.
  • Arellano-Bond estimator in dynamic panel data models.
  • Introduction to Quantile estimation.

Course outcomes

Students will gain understanding of advanced treatment of econometric principles for cross-sectional, panel and time-series data sets.

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

Though no single textbook covers all methods and applications to be discussed in the course, we will recommend the following textbooks primarily for reference or review:

M. Verbeek, A Guide to Modern Econometrics, (4th edition), Wiley (2012).

W.H. Greene, Econometric Analysis, (7th edition), Pearson Prentice Hall (2011).

*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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