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. Students must have completed Mathematical Methods (MA100) and Elementary Statistical Theory (ST102) or equivalent. Matrix algebra, multivariate calculus and statistics are used intensively.

Multiple Linear Regression Model: estimation methods (least squares, method of moments, and maximum likelihood) and hypothesis testing under the classical linear regression (also called Gauss-Markov) assumptions. Asymptotic theory. Discussion of Gauss-Markov violations (origin and consequences): perfect multicollinearity, specification errors (e.g., omitted variables), heteroskedasticity, serial correlation and endogeneity (e.g., measurement error, simultaneity). Generalized least squares, instrumental variables and two stage least squares. Single equation versus simultaneous equation models. Maximum likelihood estimation and the trinity of hypothesis testing, with applications in limited dependent variable models (binary choice and count data model). Time series data and non-stationarity (unit roots). An introduction to panel data models will be offered but not examined. Students will be given an opportunity to start using the key econometrics packages, Stata and Eviews, in optional extra sessions.

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

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