Prof Taisuke Otsu SAL 4.25

Prof Javier Hidalgo SAL 4.20

This course is compulsory on the MSc in Econometrics and Mathematical Economics. This course is available on the MRes/PhD in Economics, MRes/PhD in Economics and Management and MSc in Applicable Mathematics. This course is available with permission as an outside option to students on other programmes where regulations permit.

Students must have completed Introductory Course for MSc EME (EC451).

EC451 takes place prior to the start of Michaelmas Term, please contact econ.msc@lse.ac.uk for more information.

This course gives an advanced treatment of the theory of estimation and inference for econometric models.

Part (a) Linear regression, nonlinear regression, general asymptotic theorems, nonparametric methods, generalized method of moments, instrumental variable regression, and limited dependent variables.

Part (b) Background; asymptotic statistical theory: modes of convergence, asymptotic unbiasedness, uniform integrability, stochastic orders of magnitude, convergence in distribution, central limit theorems, applications to linear regression, extensions to time series, consistency and asymptotic distribution of implicitly defined extremum estimators.

20 hours of lectures and 9 hours of seminars in the AT. 20 hours of lectures and 9 hours of seminars in the WT. 1 hour of seminars in the ST.

There will be a reading week in Week 6 of AT and in Week 6 of WT (no lectures or classes in those weeks).

This course is delivered through a combination of classes and lectures totalling a minimum of 59 hours across Autumn Term, Winter Term and Spring Term.

Two marked assignments per term.

No one book covers the entire syllabus; a list of references will be provided at the start of the course, and lecture notes and relevant articles will be circulated.

Exam (50%, duration: 2 hours, reading time: 15 minutes) in the January exam period.
Exam (50%, duration: 2 hours, reading time: 15 minutes) in the spring exam period.