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MSc Economics / Course details

Year of entry: 2023

Course unit details:
Econometric Methods

Course unit fact file
Unit code ECON61001
Credit rating 15
Unit level FHEQ level 7 – master's degree or fourth year of an integrated master's degree
Teaching period(s) Semester 1
Offered by Economics
Available as a free choice unit? Yes

Overview

The aim of this course is to equip students with a firm grounding in the methods and practice of estimation and inference in econometric models.

Aims

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.

Learning outcomes

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 R 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.

Syllabus

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 practical.

Assessment methods

Final exam weighted at 55%

Midterm weighted at 15%

Introduction to Quantitative Methods course weighted at 10%

2 Computer assignments weighted at 20%

Recommended reading

Lecture notes will be provided.

A secondary source for all aspects of the course is:

William H. Greene, 2017, Econometric Analysis, 8th Edition, Pearson Higher Education Publishing Company.

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 Wooldridge’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. Additional resources are available on the ECON61001 Blackboard site.

Study hours

Scheduled activity hours
Lectures 20
Practical classes & workshops 10
Tutorials 10
Independent study hours
Independent study 110

Teaching staff

Staff member Role
Alastair Hall Unit coordinator

Additional notes

 

                 

 

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