Dr Yike Wang SAL 4.26

Dr Eduard Boehm

Dr Dmitry Mukhin, SAL.1.24

Prof Taisuke Otsu, SAL 4.25

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 introducing core topics and tools in microeconomic theory as preparation for the core course Advanced Microeconomics EC487. Topics are likely to include the economic concepts of choice, preference, and utility, the revealed preference approach, the consumer’s problem and its properties, and the aggregation of social preferences. Tools covered may include basic real analysis foundations, correspondences, and fixed-point theorems.

Macroeconomics (Week 2):

This course serves as the prequel of the core course Advanced Macroeconomics EC417 and focuses on topics in modern macroeconomic theory, starting with basic national income accounting and the concept of general equilibrium. It discusses the economic growth and the business cycles, including the models with sticky prices and credit market imperfections. 

Econometrics (Week 3):

Days 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 Otsu): The final session is devoted to introducing Econometric Analysis EC484. Further concepts and results on asymptotic theory and statistical methods are introduced.

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.