MA Economics

The aims of this course are threefold. to introduce students to basic modeling techniques in the analysis of cross-section, panel and time series economic data; to provide students with sufficient econometric training to read the applied literature in core journals which use these standard techniques; to prepare students for a dissertation topic that analyses either cross-section, panel or time series data using basic econometric techniques

ECON60611 is a co-requisite for this unit

The aims of this course are threefold.

1. to introduce students to basic modeling techniques in the analysis of cross-section, panel and time series economic data;
2. to provide students with sufficient econometric training to read the applied literature in core journals which use these standard techniques;
3. to prepare students for a dissertation topic that analyses either cross-section, panel or time series data using basic econometric techniques.

At the end of the course, students should be able to perform the following tasks.

With cross-section and panel data:

1. Interpret the results from regression models involving panel data and instrumental variables;
2. understand how to use instrumental variables to account for endogenous regressors;
3. understand how to estimate binary response models
4. understand how to correct for sample selection using Heckman’s two-step procedure;
5. understand how use repeated cross-section samples to perform a Difference in Difference analysis
6. understand how to set up and analyse panel data regression models;
7. estimate basic panel data, instrumental variables binary response and sample selection models;
8. use the computer package Stata.

With time series data:

1. understand the basic concepts of stationary and non-stationary time series;
2. understand and apply basic linear models for univariate and multivariate time series;
3. understand the concepts of integration and cointegration and how to test for these phenomena in time series;
4. use the computer package R to analyse time series data.

 

 

Provisional

(Relevant textbook chapters in parentheses; W = Wooldridge; B=Brooks)

Cross-section & panel data

• Instrumental Variables Estimation and Two-Stage Least Squares (W 15)
• Binary response models (W 17.1)
• Sample Selection and Heckman’s Two-Step Procedure (W 9.5, 17.5)
• Repeated cross-section data, and Difference in Difference analysis (W 13.1-13.2)
• Panel Data Methods (W 13.3-13.5,14.1)

Time series data

• Stationary Time Series – AR(MA) Modelling (B 6)
• Multivariate Modelling – VARs (B 7)
• Regression with time series data  (W 11, B5)
• Non-Stationary Time Series – Unit Root Testing and Cointegration (B 8)

 

 

 

Lectures and tutorials

85% final exam

15% mid term test

The main texts are:

• Wooldridge, J. M., (2013), Introductory Econometrics, South-Western Cengage Learning, Fifth Edition. Please note that other editions of the textbook may be used as well.

Important information: a custom edition of this textbook is available at a lower price at Blackwell’s bookstore. It is sold as:

Econometrics, Custom Edition for The University of Manchester, compiled by Andrews, Becker,

Cortes, Masters, Mazza and Backus. ISBN 978-1-4737-2064-0.

• Brooks, C., (2019), Introductory Econometrics for Finance, 4^th Edition, Cambridge UP

 An additional source is

• Verbeek, M., (2012), A Guide to Modern Econometrics, 4^th Edition, Wiley

Information
Pre-requisite: ECON60611