Prof John Hardman Moore 32L.4.14 and Prof Francisco Hidalgo 32L.4.20

Professor Erik Eyster 32L.4.29

This course is compulsory on the MSc in Econometrics and Mathematical Economics. This course is available on the MRes/PhD in Economics, 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 not available as an outside option.

The course is split into three parts: Microeconomics, Macroeconomics and Econometrics. 

Non-EME students wishing to take EC487 Advanced Microeconomics as part of their programme must attend Week 1 of the EC451 course, Microeconomics, and sit the EC451 Microeconomics examination.

Non-EME students wishing to take EC484 Econometric Analysis as part of their programme must attend Week 3 of the EC451 course, Econometrics, and sit the EC451 Econometrics examination.

Non-EME students are not permitted to attend Week 2 of the EC451 course, Macroeconomics. 

Microeconomics (Week 1):

This introduction to microeconomic theory introduces the economic concepts of choice, preference and utility, including discussion of the revealed-preference approach to hedonics. It describes the consumer's problem and explores conditions under which consumer preferences, as well as policy preferences, can sensibly be aggregated. The course will also cover the mathematics of correspondences and fixed-point theorems.

Macroeconomics (Week 2):

The prequel of the advanced macroeconomics core course focuses on topics in modern macroeconomic theory, starting with basic national income accounting and the real-business cycle model. Then sticky prices. Followed by matching frictions in the labour market. Finally credit market imperfections. 

Econometrics (Week 3):

1. Matrix algebra. Basic concepts in asymptotic theory: Convergence in probability, second mean and in distribution.
2. Linear regression model: least squares and maximum likelihood methods.
3. Instrumental variable methods and GMM estimation.
4. GLS estimation and dynamic models.
5. Introduction to Simultaneous Equations Models.
6. Hypothesis testing.

The course is taught in September. It consists of 55 hours of lectures and an additional 22 hours of classes, across a 3-week period.

After each lecture, some exercises will be handed to students. They will be solved during the classes.

Davidson and MacKinnon (2004) Econometric Theory and Methods.

Wooldridge (2010) Econometric Analysis of cross-section and panel data.

Rubinstein (2012) Lecture Notes in Microeconomic Theory

Ljungqvist, Lars and Thomas J. Sargent (2012) Recursive Macroeconomic Theory.

Romer, David (2011) Advanced Macroeconomics.

At the end of the course, students will be examined on all three modules, microeconomics, econometrics and macroeconomics.

Students from programmes other than MSc EME wishing to continue studying MSc EME core courses must achieve at least 40% in each subject exam.