EC484     
Econometric Analysis

This information is for the 2013/14 session.

Teacher responsible

Prof Francisco Hidalgo 32L 4.20 and Dr Myunghwan Seo 32L 4.26

Availability

This course is compulsory on the MSc in Econometrics and Mathematical Economics and MSc in Econometrics and Mathematical Economics (2 Year Programme). This course is available on the MRes in Economics (Track 1), MRes in Economics (Track 2), MSc in Applicable Mathematics, MSc in Statistics, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial Statistics) (Research) and MSc in Statistics (Research). This course is available with permission as an outside option to students on other programmes where regulations permit.

Pre-requisites

Students must have completed Introductory Course in Mathematics and Statistics (EC400).

Course content

This course gives an advanced treatment of the theory of estimation and inference for econometric models. Part (a) Matrix background; symptotic statistical theory: modes of convergence, asymptotic unbiasedness, stochastic orders of magnitude, central limit theorems, applications to linear regression. Part (b) Non-linear-in variables systems: maximum likelihood and instrumental variables estimates, optimal instrumental variables estimates for static and dynamic models, and models with autocorrelated disturbances. Simultaneous equations systems, identification, estimation, asymptotic behaviour of estimators and hypothesis testing. Wald, generalised likelihood ratio and Lagrange multiplier hypothesis tests, asymptotic null and local behaviour and consistency.

Teaching

30 hours of lectures and 10 hours and 30 minutes of seminars in the MT. 30 hours of lectures and 15 hours of seminars in the LT. 4 hours and 30 minutes of seminars in the ST.

Indicative reading

No one book covers the entire syllabus; a list of references will be provided at the start of the course, and lecture notes and relevant articles will be circulated.

Assessment

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

Key facts

Department: Economics

Total students 2012/13: 30

Average class size 2012/13: 15

Value: One Unit

Guidelines for interpreting course guide information

Course survey results

(2010/11 - 2012/13 combined)

1 = "best" score, 5 = "worst" score

The scores below are average responses.

Response rate: 82.4%

Question

Average
response

Reading list (Q2.1)

2.2

Materials (Q2.3)

3

Course satisfied (Q2.4)

2.2

Lectures (Q2.5)

2.4

Integration (Q2.6)

2

Contact (Q2.7)

2

Feedback (Q2.8)

2.3

Recommend (Q2.9)

Yes

52.9%

Maybe

33.8%

No

13.3%