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Unit information: Econometrics 2 in 2019/20

Please note: Due to alternative arrangements for teaching and assessment in place from 18 March 2020 to mitigate against the restrictions in place due to COVID-19, information shown for 2019/20 may not always be accurate.

Please note: you are viewing unit and programme information for a past academic year. Please see the current academic year for up to date information.

Unit name Econometrics 2
Unit code EFIM20036
Credit points 20
Level of study I/5
Teaching block(s) Teaching Block 2 (weeks 13 - 24)
Unit director Professor. Windmeijer
Open unit status Not open

Econometrics 1



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


Builds on material covered in Econometrics 1. Some new techniques will be covered, but the emphasis will shift towards applying Econometrics to problems in Economics. After revisiting the Linear Model, the lectures will introduce time series regression. 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.

After introducing heteroskedasticity and the Generalised/Weighted Least Squares estimator, the lectures will cover estimation and hypothesis testing in models for binary dependent variable 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.

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

At the end of the unit students will:

  1. be able to solve algebraic models to obtain properties of statistical estimators
  2. be able to perform and interpret econometric analysis using a statistical software package
  3. be able to explain the meaning of econometric results and provide an economic interpretation

Teaching details

The course will be taught in the following format:

18h Lectures

4h of large group computer lab sessions (STATA Lab)

9h Exercise lectures (Students prepare STATA output which is discussed during the exercise lecture)

6h small group class sessions

Assessment Details

The course will be assessed by a written 2 ½ hour closed book exam which counts 100% towards the mark of this unit. This will assess all learning outcomes.

Reading and 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