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Unit information: Applied Econometrics (QM4) in 2016/17

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Unit name Applied Econometrics (QM4)
Unit code EFIM30006
Credit points 20
Level of study H/6
Teaching block(s) Teaching Block 1 (weeks 1 - 12)
Unit director Professor. Windmeijer
Open unit status Not open

Econometrics (EFIM20011)



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


Builds on material covered in second year Econometrics units. Some new techniques will be covered, but the emphasis will shift towards applying Econometrics to problems in Economics. After revisiting the Linear Model, heteroscedasticity and Generalised/Weighted Least Squares, the lectures will cover estimation and hypothesis testing in models for binary dependent variables and sample selection models. These techniques are often used in estimating models from cross-section samples. Estimation and testing in linear models using panel data is covered next. This part of the course is taught by Frank Windmeijer. The lectures go on to introduce time series models and the problems posed by non-stationary data. It will provide an introduction to many of the applied techniques which are used in modern macroeconomics. This part of the course is taught by Sami Stouli.

You will find that understanding these techniques and being able to use them are essential in successfully completing the applied projects in the Applied Economics Dissertation.

Intended learning outcomes

  • Students will be able to solve algebraic models to obtain properties of statistical estimators;
  • Students will be able to explain the meaning of econometric results and provide an economic interpretation.

Teaching details

18 hours lectures, 9 hours exercise lectures, 9 hours of classes

Assessment Details

  • Formative assessment consists of completing an exercise for each class
  • Summative assessment is a 2 hour exam which will assess all intended learning outcomes

Reading and References

There is no single text for this course. You will find the following books useful as well as other references:

  • J.H. Stock and M.W. Watson, Introduction to Econometrics, Pearson
  • M. Verbeek, A Guide to Modern Econometrics, Wiley
  • J.M. Wooldridge, Introductory Econometrics; a Modern Approach, Cengage