Prof Javier Hidalgo (SAL.4.20)

This course is available on the BSc in Econometrics and Mathematical Economics, BSc in 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.

A good knowledge of linear algebra, calculus and statistical theory is essential, so Mathematical Methods (MA100) and either Elementary Statistical Theory (ST102) or Elementary Statistical Theory I (ST109) in combination with Econometrics I (EC1C1), or equivalent.

Students should have also completed either Econometrics II (EC2C1) or have a strong performance in Econometrics I (EC2C3) and Econometrics II (EC2C4), or equivalent.

Students seeking permission to take this course as an outside option should consult with Professor Hidalgo before selecting this course.

This methodology course covers general data environments (time series, panel data and clustered data) and various models (dynamic, non-linear, simultaneous equations etc), broadening knowledge and understanding of topics explored in the Year 2 econometrics sequence.

Topics covered: method of moments and GMM (general); generalized least squares (heteroskedasticity and autocorrelation); dynamic model and time series analysis; system of equations and simultaneous equations; panel data analysis; hypothesis testing: general principle and applications; bootstrap; unit root and cointegration.

This course is delivered through a combination of classes and lectures totalling a minimum of 25 hours. 15 hours of lectures and 9 hours of classes in the Winter Term (WT); 1 hour of classes in the Spring Term (ST).

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

Students are expected to engage with problems on a weekly basis and to make positive contributions to class discussions. Students will receive feedback on two problem sets during the term.

Core reading will be from the following texts:

• Davidson, Russell, and James G. MacKinnon. Econometric theory and methods. Vol. 5. New York: Oxford University Press, 2004.
• Harvey, Andrew C. The econometric analysis of time series. MIT Press, 1990.

Exam (100%, duration: 2 hours, reading time: 15 minutes) in the spring exam period.