Year of entry: 2020
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Course unit details:
|Unit level||FHEQ level 7 – master's degree or fourth year of an integrated master's degree|
|Teaching period(s)||Semester 1|
|Available as a free choice unit?||Yes|
The aim of this module is to equip students with a firm grounding in the methods and practice of estimation and inference in econometric models.
On completion of this unit successful students will be able to:
- Understand the manipulation and use of matrices and vectors and their application in econometrics
- Have basic knowledge of programming in MATLAB and its application in econometrics
- Understand how to conduct estimation and inference in both time series and cross-section applications of the linear model, employing standard least squares, instrumental variables and robust inferential techniques
- Understand the construction of Maximum Likelihood estimators and associated inferential procedures with applications to binary choice models.
- Understand the principle of Generalized Method of Moments estimation.
1. The Classical Linear Regression Model
2. Large sample analysis of OLS
3. Inference in regression models estimated from cross-section data
4. Inference in regression models estimated from time series data
5. Instrumental Variable estimation
6. Maximum Likelihood and Binary Choice Models
7. Generalized Method of Moments
Teaching and learning methods
Lectures, tutorials and Matlab sessions.
Exam weighted at 55% or 75%
In Class Exam weighted at 15%
On line test based on the Introduction to Quantitative Methods course weighted at 10%
Matlab (optional) weighted at 20%
Lecture notes will be provided.
A secondary source for all aspects of the course is:
William H. Greene, 2011, Econometric Analysis, 7th Edition, Pearson Higher Education Publishing Company.
MATLAB is not covered in the lectures or tutorials, but is left as a self-study supported by on-line resources and weekly walk-in sessions. (The time and location of the walk-in sessions will be announced at the first lecture.)
On-line resources are at:
Please see also the notes and questions on OLS on
Please note that the course will involve linear algebra from the start. So for those of you whose undergraduate Econometrics course was based on a text such as Jeff Woodlridge’s “Introductory Econometrics”, the presentation of the mathematical arguments will be more similar to his Appendices D and E than in the main part of his text. The Pre-session Mathematics and Statistics courses will review linear algebra but it is strongly recommended you review this material in advance. Anyone needing recommendations for appropriate reading on linear algebra should contact Alastair Hall.
|Scheduled activity hours|
|Practical classes & workshops||10|
|Independent study hours|
|Alastair Hall||Unit coordinator|
|James Lincoln||Unit coordinator|
Lectures: Monday, 11am-1pm,
Tutorial: (T1) Wednesday 10am-11am,
(T2) Thursday 12am-1pm,
MATLAB: Thursday 2pm-3pm,