Dr Yike Wang SAL 4.26

Prof Michele Piccione SAL 4.07

Prof John Moore SAL 4.14

Prof Javier Hidalgo SAL 4.20

This course is compulsory on the MSc in Econometrics and Mathematical Economics. 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 section focuses on microeconomic theory and introduces the economic concepts of choice, preference, and utility, including a discussion of the revealed-preference approach. It describes the consumer's problem and investigates the properties of its solutions.  It discusses how social preferences can sensibly be aggregated. The course will also cover some basic real analysis, 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):

Day 1-4 (Dr Yike Wang): This part introduces basic concepts and theory for mathematical statistics and probability. This part mostly focuses on linear regression model and covers the topics, such as (i) Conditional expectation and projection, (ii) Algebra of least squares, (iii) Finite sample theory, (iv) Maximum likelihood (v) Introduction to asymptotic theory, and (vi) Hypothesis testing. Also, some background mathematical results are reviewed.

Day 5 (Prof Hidalgo): Last day is devoted to introduction to MT part of EC484. Further concepts and results on convergence of variables are discussed.

The course is taught in September. It consists of approximately 45 hours of lectures and an additional 22 hours of classes, across a 3-week period. Lectures and classes will be delivered in person on the LSE campus.

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

Hansen, Bruce (2022) Econometrics (main reference)

Hansen, Bruce (2022) Probability and Statistics for Economists (background reading for the econometrics sequence)

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 a passing mark in each subject exam.