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Unit information: Foundations of Econometric Theory (QM5) in 2016/17

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Unit name Foundations of Econometric Theory (QM5)
Unit code ECON21356
Credit points 20
Level of study I/5
Teaching block(s) Teaching Block 2 (weeks 13 - 24)
Unit director Dr. Lale
Open unit status Not open

EFIM20011 Econometrics



School/department School of Economics
Faculty Faculty of Social Sciences and Law


The course is taught in two parts. The first part covers Statistical theory essential for Econometric theory. It focuses on key properties of sample statistics and on hypothesis testing. It also provides students with new notions to add to their mathematical toolkit, such as moment-generating functions. The second part is solely concerned with detailed examination of least squares (ordinary, restricted and generalized). It also deals with maximum-likelihood estimation of the general linear model.

Intended learning outcomes

  • A good knowledge of fundamental econometric theory,
  • To handle theoretical propositions,
  • Rigorously prove the properties of the estimators.

Teaching details

Eighteen one hour lectures and nine one hour classes.

This pattern of teaching may be changed slightly to accommodate the Easter Vacation.

Assessment Details

Formative assessment: Weekly problem sets. Two of the problem sets will be marked.

Summative assessment: 100% by a three hour closed book examination.

The assessment examines the ILOs.

Reading and References

The following textbooks cover the essential topics of the course. Students will be referred to parts of these
books as we proceed through the lectures:

Freund, J.E. Mathematical Statistics. Pearson Prentice Hall, 6th Edition, 1999. (available in the Arts andSocial Sciences Library, ref. QA276 FRE)

Hogg, R.V., J. McKean and A.T. Craig. Introduction to Mathematical Statistics. Pearson Prentice Hall, 6th Edition, 2005. (available in Queen’s building Library, ref. QA276 HOG)

Greene, W.H. Econometric Analysis. Pearson Education, 7th Edition, 2012. (available in the Arts and
Social Sciences Library, ref. HB139 GRE)

Stock, J.H. and M.W. Watson. Introduction to Econometrics. Pearson Education, 3rd Edition, 2012.
(available in the Arts and Social Sciences Library, ref. HB139 STO)

The following textbooks go beyond the course content, but they may also be of interest for students:
Casella, G. and R. Berger. Statistical Inference. Duxbury Press, 2nd Edition, 2002. (available in Queen’s building library, ref. QA276 CAS)

Ruud, P.A. An Introduction to Classical Econometric Theory. Oxford University Press, 1st Edition, 2000.
(available in the Arts and Social Sciences Library, ref. HB139 RUU)