Prof Taisuke Otsu 32L 4.25

Prof Javier Hidalgo  32L.4.20

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

Students must have completed Principles of Econometrics (EC221).

A good knowledge of linear algebra, calculus and statistical theory is essential, so MA100 and either ST102  or ST109 in combination with EC1C1, or equivalent, are required. Students taking this course who are not on the BSc Econometrics and Mathematical Economics or BSc Mathematics and Economics should consult with Prof Otsu  before selecting this course

Introduction to asymptotic theory; Method of moments; Hypothesis testing and confidence intervals; Asymptotic theory for linear OLS, instrumental variables, and generalized method of moments (GMM) estimators; Nonparametric density estimation and regression; General large sample theory; Estimation and inference of nonlinear models (Maximum likelihood, Nonlinear Least Squares, GMM); General hypothesis testing and model specification; Systems of equations; Time series analysis and dynamic models.

15 hours of lectures and 10 hours of classes in the MT. 15 hours of lectures and 9 hours of classes in the LT. 1 hour of classes in the ST.

There will be a reading week in Week 6 of LT (no lectures or classes that week).

This course is delivered through a combination of classes and lectures totalling a minimum of 50 hours across Michaelmas Term and Lent Term.  

Written answers to set problems will be expected on a weekly basis. Students are also expected to make positive contributions to class discussions.

The main texts for the lectures are Bruce Hansen’s lecture notes (downloadable at https://www.ssc.wisc.edu/~bhansen/econometrics/) for MT, and Davidson & MacKinnon (2004) Econometric Theory and Methods, Oxford University Press for LT. Other useful texts include Davidson (2000) Econometric Theory, Amemiya (1985) Advanced Econometrics, and Hayashi (2000) Econometrics.

Exam (100%, duration: 3 hours, reading time: 15 minutes) in the summer exam period.