Skip to main content

Unit information: Econometrics in 2020/21

Unit name Econometrics
Unit code ECONM1022
Credit points 15
Level of study M/7
Teaching block(s) Teaching Block 1 (weeks 1 - 12)
Unit director Dr. David Pacini
Open unit status Not open
Pre-requisites

None

Co-requisites

None.

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

Description

The course is divided into two parts. The first part will cover the linear regression model with one regressor, the linear regression model with multiple regressors, hypothesis testing, confidence intervals and ways to assess the internal and external validity of studies based on multiple regression. This part will also introduce asymptotic analysis, heteroskedasticity, and several potential sources of biases and inconsistency in OLS estimation. The second half of the course will investigate more advanced methods of estimation such as generalised least squares (GLS) and instrumental variables (IV) methods before examining the methods and properties of maximum likelihood estimation and related test statistics.

Aims:

To give students a thorough understanding of econometrics, in particular OLS and its extensions to GLS and IV.

Intended learning outcomes

At the end of this unit students will be able to:

  1. Demonstrate understanding of the advantages and limitations of alternative methods for defining, estimating, and making inference on unknown parameters of interest from cross-sectional, time series, and panel data.
  2. Demonstrate an ability to testing hypotheses by examining restrictions placed on models by theory.
  3. Use and critically evaluate the results of general statistical tools with competence and confidence to approximate quantities of interest arising in economic and finance applications.

Teaching details

Teaching will be delivered through a combination of synchronous and asynchronous sessions such as online teaching for large and small group, face-to-face small group classes (where possible) and interactive learning activities

Assessment Details

timed open book assessment

Reading and References

The main textbook is:

M. Verbeek, A Guide to Modern Econometrics, 2012, Fourth Edition, Wiley.

Other recommended textbooks are:

M. Murray, Econometrics: A Modern Introduction, 2006, Pearson Education.

J. H. Stock and M.W. Watson, Introduction to Econometrics, 2nd edition, 2007, Pearson Education.

J. Wooldridge, Introduction to Econometrics, Europe, Middle East and Africa Edition, 2014, Cengage Learning.

Feedback