Unit information: Foundations of Econometric Theory (QM5) in 2013/14

Unit name	Foundations of Econometric Theory (QM5)
Unit code	ECON21356
Credit points	20
Level of study	I/5
Teaching block(s)	Teaching Block 4 (weeks 1-24)
Unit director	Dr. Lale
Open unit status	Not open
Pre-requisites	At least 60% in Quantitative Methods 2 (ECON12122)
Co-requisites	QM3 (ECON20020)
School/department	School of Economics
Faculty	Faculty of Social Sciences and Law

Description including Unit Aims

The Autumn term covers Statistical theory and Matrix algebra essential for econometric theory. The Spring term will be concerned with detailed examination of the maximum likelihood estimation of the general linear model, restricted least squares, generalised least squares and simultaneous equation techniques.

QM5 is specialised second year econometric unit. It is prerequisite for ECON 30392 (QM6). This unit is a lecture based unit. Teaching are done in autumn and spring term.

Main emphasis of this course is to train students in theoretical econometrics.

Intended Learning Outcomes

• A good knowledge of fundamental econometric theory,

• To handle theoretical propositions,

• Rigorously prove the properties of the estimators.

Teaching Information

Eighteen one hour lecture and eighteen one hour tutorial.

Assessment Information

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

Summative assessment: 100% by a three hour closed book examination, divided into Section A (statistical theory section) and Section B (econometrics theory section).

Section A consists of two questions and Section B of four. It is required to answer one question from Section A and three questions from Section B.

Reading and References

• Greene Econometric Analysis, W.H.Greene, Pearson, 2008 (6th ed.)

• Johnston Econometric Methods, McGraw Hill, 1983, (Third Edition),

• Johnston and Dinardo Econometric Methods, McGraw Hill, 1997, (Fourth Edition)