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Unit information: Advanced Econometric Theory (QM6) in 2018/19

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Unit name Advanced Econometric Theory (QM6)
Unit code ECON30392
Credit points 20
Level of study H/6
Teaching block(s) Teaching Block 2 (weeks 13 - 24)
Unit director Dr. Sokullu
Open unit status Not open

50% in Foundations of Econometric Theory (ECON21356)



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


Specialised topics in econometrics theory will be discussed. The first part will examine hypothesis testing. The second part will focus on large sample properties of the OLS and Maximum Likelihood estimators. The third part is concerned with general testing procedures based on the principle of maximum likelihood. The fourth part consists of instrumental variables estimation. Part five deals with time series econometrics.

Intended learning outcomes

At the end of the course, students should be able to:

  1. Demonstrate a good knowledge of some specialised topics in econometric theory.
  2. Develop a theoretical argument in econometrics using propositions and theorems
  3. Rigorously prove the properties of some estimators.

Teaching details

9 x 2 hour lectures and 9 x 2 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 consisting of 4 questions and students are required to answer all of the questions.

The summative and formative assessments are designed to fully test all of the learning outcomes of the unit.

Reading and References

  • Greene W.H. (2012), Econometric Analysis, (7th Edition), Prentice Hall, Chapter 17
  • Spanos, A. (1986), Statistical Foundations of Econometrics Modelling, CUP, Chapter 14
  • Wooldridge J.M. (2010), Econometric Analysis of Cross Section and Panel Data, 2nd Edition, MIT, Chapter 13
  • Greene, W.H. (2012), Econometric Analysis, 7th Edition, Prentice Hall, Chapters 8, 13, 14, 20, 21
  • Ruud, P.A. (2000), An Introduction to Classical Econometric Theory, Oxford, Chapters 19, 20, 21, 25