Prof Mark Schankerman 32L.4.30 and Dr David Baqaee 32L.1.10

This course is available on the MSc in Econometrics and Mathematical Economics. This course is available with permission as an outside option to students on other programmes where regulations permit.

Students must have completed Pre-sessional Course for MSc EME (EC451).

A knowledge is expected of econometric theory and applied econometrics corresponding to Principles of Econometrics or Methods of Economic Investigation. Students must be prepared to read journal articles with a difficult mathematical and statistical content.

The course will focus on going through modern quantitative papers which demonstrate the application of econometric techniques to modelling the behaviour of individual economic agents (households and firms) and economies. The first part of this course will explore topics in applied macroeconomics, with emphasis on the intersection of empirical analysis and theory. It will cover different quantitative approaches for assessing macroeconomic models and theories. The topics covered will include models of consumption, investment, technological change and monetary policy. The thematic focus will be on understanding business cycles. The second half of the course will focus on papers in the empirical literature on productivity, innovation and intellectual property rights, illustrating the challenges of identification in both structural and reduced form models.  The lectures will cover a wide range of topics in applied micro-econometrics with a view to illustrating the interplay between models, data and methods.

20 hours of lectures and 10 hours of seminars in the MT. 20 hours of lectures and 10 hours of seminars in the LT.

Two marked assignments per term.

Articles in economic journals will be assigned at the start of Michaelmas and Lent terms. The course will also draw on methodological topics covered in Wooldridge, Econometric Analysis of Cross Section and Panel Data (2nd edition, 2010), and Angrist and Pischke, Mostly Harmless Econometrics (2009).

Exam (50%, duration: 2 hours) in the LT week 0.
Exam (50%, duration: 2 hours) in the main exam period.