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Unit information: Foundations of Econometric Theory (QM5) in 2018/19

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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. Botosaru
Open unit status Not open
Pre-requisites

EFIM20011 Econometrics

Co-requisites

None

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

Description

The course is taught in two parts. The first part covers statistical theory essential for econometrics. It focuses on mathematical properties of probability distributions and sample statistics and on key concepts of statistical inference (estimators, tests, p-values, confidence intervals). The second part is concerned with detailed examination of linear regression and with maximum likelihood estimation.

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 two-and-a-half hours 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)

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