EC336      Half Unit
Econometric Theory A

This information is for the 2024/25 session.

Teacher responsible

Prof Taisuke Otsu SAL.4.25

Availability

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.

Pre-requisites

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 Otsu before selecting this course.

Course content

This proof-based course focuses on an in-depth exploration of cross-sectional data environments and linear models, consolidating and building on theoretical and analytical skills learned in the Year 2 econometrics sequence.

The course will begin with a review of probability theory, and then covers basic asymptotic theory, method of moments, inference, theory for OLS, instrumental variables regression (linear), generalized method of moments (linear) and maximum likelihood.

Teaching

This course is delivered through a combination of classes and lectures totalling a minimum of 25 hours in the Autumn Term (AT). 15 hours of lectures and 10 hours of classes in the AT. 

Formative coursework

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.

Indicative reading

Core reading will be from the following texts:

  • Hansen, Bruce. Probability and Statistics for Economists. Princeton University Press, 2022.
  • Hansen, Bruce. Econometrics. Princeton University Press, 2022.

Assessment

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

Key facts

Department: Economics

Total students 2023/24: 7

Average class size 2023/24: 9

Capped 2023/24: No

Value: Half Unit

Guidelines for interpreting course guide information

Course selection videos

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Personal development skills

  • Self-management
  • Problem solving
  • Application of numeracy skills