Dr Marcia Schafgans 32L4.12

This course is compulsory on the BSc in Econometrics and Mathematical Economics. This course is available on the BSc in Accounting and Finance, BSc in Business Mathematics and Statistics, BSc in Economics, BSc in Economics and Economic History, BSc in Economics with Economic History, BSc in Mathematics and Economics, BSc in Mathematics with Economics, BSc in Philosophy and Economics, BSc in Statistics with Finance and MSc in Economics (2 Year Programme). This course is available as an outside option to students on other programmes where regulations permit and to General Course students.

Students must have completed Mathematical Methods (MA100) and Elementary Statistical Theory (ST102).

This course is an intermediate-level introduction to the theory and practice of econometrics. A knowledge of linear algebra and calculus (eg previous attendance at Mathematical Methods) and of basic statistical theory (Elementary Statistical Theory) is required. Although the course does involve some computing no previous experience is required.

Statistical background; continuous distribution, sampling theory, estimation, hypothesis testing, asymptotic theory. The Linear Model; multiple regression, t-and F-tests, dummy variables, multicollinearity, linear restrictions, measurement errors, omitted variables. Maximum likelihood estimation and the Wald, Likelihood Ratio, and Lagrange Multiplier tests. Limited dependent variable models. Dynamic models, time series autoregressive models, seasonal adjustment, generalised least squares, serial correlation, heteroskedasticity, distributive lags, stationarity, unit roots and cointegration. Simultaneous equation systems, instrumental variables and two stage least squares.

20 hours of lectures and 8 hours of classes in the MT. 20 hours of lectures and 10 hours of classes in the LT. 2 hours of classes in the ST.

Additional help lectures 20 x one-hour MT and LT.

Weekly problem sets are expected to be attempted before each class. Two compulsory problem sets will be designated for each term.

The main text for the course is J H Stock and M W Watson , Introduction to Econometrics, Pearson. Other useful texts include: W Greene, Econometric Analysis, Pearson; J Johnston & J Dinardo, Econometric Methods, McGraw-Hill;  J M Wooldridge, Introductory Econometrics: A Modern Approach, Thomson, G S Maddala, Introduction to Econometrics, John Wiley and C Heij et al, Econometric methods with Applications in Business and Economics, Oxford University Press.

Exam (100%, duration: 3 hours) in the main exam period.